ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS (Q3502980): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Stochastic Volatility Corrections for Interest Rate Derivatives
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+THE GARCH OPTION PRICING MODEL
@@ Property / cites work: THE GARCH OPTION PRICING MODEL / rank @@
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+Q4226821
@@ Property / cites work: Q4226821 / rank @@
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@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
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+FROM THE IMPLIED VOLATILITY SKEW TO A ROBUST CORRECTION TO BLACK-SCHOLES AMERICAN OPTION PRICES
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+Multiscale Stochastic Volatility Asymptotics
@@ Property / cites work: Multiscale Stochastic Volatility Asymptotics / rank @@
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+Equivalent Black volatilities
@@ Property / cites work: Equivalent Black volatilities / rank @@
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@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Option Pricing Under Incompleteness and Stochastic Volatility
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+On the pricing and hedging of volatility derivatives
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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@@ Property / cites work @@
+OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
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+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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+American options exercise boundary when the volatility changes randomly
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+A Risk-Neutral Stochastic Volatility Model
@@ Property / cites work: A Risk-Neutral Stochastic Volatility Model / rank @@
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+https://doi.org/10.1142/s0219024907004445
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+W2005777945
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+Publication:3502980