New Approximations in Local Volatility Models (Q4561938): Difference between revisions

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+https://doi.org/10.1007/978-3-319-02069-3_14
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+W1849257293
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+Smart expansion and fast calibration for jump diffusions
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+Analytical formulas for a local volatility model with stochastic rates
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+EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
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+Time Dependent Heston Model
@@ Property / cites work: Time Dependent Heston Model / rank @@
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+Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
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+Equivalent Black volatilities
@@ Property / cites work: Equivalent Black volatilities / rank @@
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+Analysis, Geometry, and Modeling in Finance
@@ Property / cites work: Analysis, Geometry, and Modeling in Finance / rank @@
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+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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+Q4350437
@@ Property / cites work: Q4350437 / rank @@
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+Stochastic Volatility Model with Time‐dependent Skew
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+Publication:4561938