Publication:432231

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

zbMATH Keywords

transition densityheat kernel expansionanalytical approximationimplied volatilityBlack-Scholes formulaFeller processlocal volatilitylocal diffusionslocal-stochastic volatility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20) Auctions, bargaining, bidding and selling, and other market models (91B26) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Second-order parabolic equations (35K10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (31)

Intrinsic expansions for averaged diffusion processes ⋮ EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ Optimal static quadratic hedging ⋮ Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio ⋮ Explicit density approximations for local volatility models using heat kernel expansions ⋮ Asymptotics for $$d$$ -Dimensional Lévy-Type Processes ⋮ Local densities for a class of degenerate diffusions ⋮ Option pricing in the moderate deviations regime ⋮ Options on bonds: implied volatilities from affine short-rate dynamics ⋮ Approximate solutions to second-order parabolic equations: evolution systems and discretization ⋮ SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS ⋮ Model and numerical methods for pricing renewable energy certificate derivatives ⋮ An improved asymptotics of implied volatility in the gatheral model ⋮ Analytical approximation of the transition density in a local volatility model ⋮ Closed-form Arrow-Debreu pricing for the Hull-White short rate model ⋮ Mass at zero in the uncorrelated SABR model and implied volatility asymptotics ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ The implied Sharpe ratio ⋮ Expansions asymptotiques pour équations paraboliques dégénérées ⋮ OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT ⋮ EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL ⋮ INDIFFERENCE PRICES AND IMPLIED VOLATILITIES ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS ⋮ A family of density expansions for Lévy-type processes ⋮ PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model ⋮ Short-Term At-the-Money Asymptotics under Stochastic Volatility Models ⋮ General Smile Asymptotics with Bounded Maturity ⋮ Analytical Expansions for Parabolic Equations ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew ⋮ CCF approach for asymptotic option pricing under the CEV diffusion

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