Recovery of time-dependent parameters of a Black-Scholes-type equation: An inverse Stieltjes moment approach.
Refined wing asymptotics for the Merton and Kou jump diffusion models
Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price approximations by transfer results of Gao and Lee. For the Merton model, we also analyse the density of the underlying and show that it features an interesting "almost power law" tail.
Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs.