Publication:432231: Difference between revisions

From MaRDI portal
Publication:432231
Created automatically from import240129110113
 
 
(No difference)

Latest revision as of 12:17, 29 April 2024

DOI10.2478/s11533-011-0115-yzbMath1246.91137arXiv1510.06084OpenAlexW3124430067MaRDI QIDQ432231

Andrea Pascucci, Stefano Pagliarani

Publication date: 3 July 2012

Published in: Finance and Stochastics, Central European Journal of Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1510.06084




Related Items (31)

Intrinsic expansions for averaged diffusion processesEXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELSOptimal static quadratic hedgingPortfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe RatioExplicit density approximations for local volatility models using heat kernel expansionsAsymptotics for $$d$$ -Dimensional Lévy-Type ProcessesLocal densities for a class of degenerate diffusionsOption pricing in the moderate deviations regimeOptions on bonds: implied volatilities from affine short-rate dynamicsApproximate solutions to second-order parabolic equations: evolution systems and discretizationSHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTSModel and numerical methods for pricing renewable energy certificate derivativesAn improved asymptotics of implied volatility in the gatheral modelAnalytical approximation of the transition density in a local volatility modelClosed-form Arrow-Debreu pricing for the Hull-White short rate modelMass at zero in the uncorrelated SABR model and implied volatility asymptoticsComputing the CEV option pricing formula using the semiclassical approximation of path integralThe implied Sharpe ratioExpansions asymptotiques pour équations paraboliques dégénéréesOPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACTEXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODELINDIFFERENCE PRICES AND IMPLIED VOLATILITIESA VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODELLOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONSA family of density expansions for Lévy-type processesPDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV modelShort-Term At-the-Money Asymptotics under Stochastic Volatility ModelsGeneral Smile Asymptotics with Bounded MaturityAnalytical Expansions for Parabolic EquationsThe VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 SkewCCF approach for asymptotic option pricing under the CEV diffusion



Cites Work


This page was built for publication: Analytical approximation of the transition density in a local volatility model