SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (Q4631699): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
+Normal rank
@@ Property / cites work @@
+A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
+Normal rank
@@ Property / cites work @@
+An extension of Itô's formula for anticipating processes
+Normal rank
@@ Property / cites work @@
+Asymptotics and calibration of local volatility models
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Nonparametric estimation for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+Small-time asymptotics for fast mean-reverting stochastic volatility models
+Normal rank
@@ Property / cites work @@
+The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION
@@ Property / cites work: THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION / rank @@
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Pricing of geometric Asian options under Heston's stochastic volatility model
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Short Maturity Asian Options in Local Volatility Models
+Normal rank
@@ Property / cites work @@
+ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
+Normal rank
@@ Property / cites work @@
+Malliavin Calculus with Applications to Stochastic Partial Differential Equations
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024919500055
+Normal rank
@@ Property / OpenAlex ID @@
+W2912391066
@@ Property / OpenAlex ID: W2912391066 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4631699