Pages that link to "Item:Q5245895"

The following pages link to How to make Dupire’s local volatility work with jumps (Q5245895):

Displaying 11 items.

• Reconstruction of the time-dependent volatility function using the Black-Scholes model (Q1727049) (← links)
• Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
• Option pricing in illiquid markets: a fractional jump-diffusion approach (Q2195887) (← links)
• Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
• General Smile Asymptotics with Bounded Maturity (Q2832614) (← links)
• Extrapolation Analytics for Dupire’s Local Volatility (Q4560335) (← links)
• Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337) (← links)
• Option pricing in the moderate deviations regime (Q4581294) (← links)
• Analytical Expansions for Parabolic Equations (Q5264986) (← links)
• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
• Local volatility under rough volatility (Q6187367) (← links)