Leveraged {ETF} Implied Volatilities, Family Of Density Expansions For Lévy-Type Processes, Taylor Series Approach To Pricing And Implied Vol For LSV Models, Complete Duality For Martingale Optimal Transport, Network Filtering, Robust Dynkin Game, Chebysh

Abstract

Stability Analysis, Solutional Behaviour Thereof And Asymptotic Stability Of The Following Systems Are Studied With Attendant Executive Variable Exposition. Leveraged {Etf} Implied Volatilities, D-Dimensional Lévy-Type Processes, Dynamics Of Implied Volatility Surfaces, Family Of Density Expansions For Lévy-Type Processes, Asymptotics For A General Local-Stochastic Volatility Model, Drift Of The Volatility, Taylor Series Approach To Pricing And Implied Vol For LSV Models, Variance Swaps On Defaultable Assets, Time-Changed Lévy Processes, Complete Duality For Martingale Optimal Transport, Network Filtering, Drawdowns For Lévy Models, TMFG, Robust Dynkin Game, Exponential Semimartingales, Chebyshev Interpolation For Parametric Option Pricing, Feynman-Kac Formula For Lévy Processes, Analyticity Of The Wiener-Hopf Factors, Analyses Of Fourier Transform Valuation Formulas, Equilibrium Model For Spot And Forward Prices Of Commodities...

The full paper: http://www.iiste.org/PDFshare/APTA-PAGENO-440612-445137.pdf