Gulisashvili, Archil; Viens, Frederi; Zhang, Xin Small-time asymptotics for Gaussian self-similar stochastic volatility models. (English) Zbl 1464.60033 Appl. Math. Optim. 82, No. 1, 183-223 (2020). MSC: 60G15 91G20 PDFBibTeX XMLCite \textit{A. Gulisashvili} et al., Appl. Math. Optim. 82, No. 1, 183--223 (2020; Zbl 1464.60033) Full Text: DOI arXiv
Gulisashvili, Archil; Vives, Josep Two-sided estimates for distribution densities in models with jumps. (English) Zbl 1247.91184 Zili, Mounir (ed.) et al., Stochastic differential equations and processes. SAAP, Tunisia, October 7-9, 2010. Selected papers based on the presentations at the international conference on stochastic analysis and applied probability. Berlin: Springer (ISBN 978-3-642-22367-9/hbk; 978-3-642-22368-6/ebook). Springer Proceedings in Mathematics 7, 239-254 (2012). MSC: 91G20 91B25 60J75 60E99 PDFBibTeX XMLCite \textit{A. Gulisashvili} and \textit{J. Vives}, Springer Proc. Math. 7, 239--254 (2012; Zbl 1247.91184) Full Text: DOI arXiv
Gulisashvili, Archil Asymptotic equivalence in Lee’s moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg’s conjecture. (English) Zbl 1241.91114 Int. J. Theor. Appl. Finance 15, No. 3, Article ID 1250020, 34 p. (2012). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Gulisashvili}, Int. J. Theor. Appl. Finance 15, No. 3, Article ID 1250020, 34 p. (2012; Zbl 1241.91114) Full Text: DOI
Gulisashvili, Archil; Stein, Elias M. Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models. (English) Zbl 1208.91172 Appl. Math. Optim. 61, No. 3, 287-315 (2010). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G80 91G70 PDFBibTeX XMLCite \textit{A. Gulisashvili} and \textit{E. M. Stein}, Appl. Math. Optim. 61, No. 3, 287--315 (2010; Zbl 1208.91172) Full Text: DOI arXiv
Gulisashvili, Archil; Stein, Elias M. Asymptotic behavior of the distribution of the stock price in models with stochastic volatility: the Hull-White model. (English) Zbl 1134.91021 C. R., Math., Acad. Sci. Paris 343, No. 8, 519-523 (2006). MSC: 91B28 60H30 91B70 60H10 PDFBibTeX XMLCite \textit{A. Gulisashvili} and \textit{E. M. Stein}, C. R., Math., Acad. Sci. Paris 343, No. 8, 519--523 (2006; Zbl 1134.91021) Full Text: DOI