EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408): Difference between revisions

@@ Property / DOI @@
-.1111/mafi.12105
@@ Property / DOI: 10.1111/mafi.12105 / rank @@
-Normal rank
@@ Property / cites work @@
+Moment explosions in stochastic volatility models
@@ Property / cites work: Moment explosions in stochastic volatility models / rank @@
+Normal rank
@@ Property / cites work @@
+Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model
+Normal rank
@@ Property / cites work @@
+Time Dependent Heston Model
@@ Property / cites work: Time Dependent Heston Model / rank @@
+Normal rank
@@ Property / cites work @@
+Analytical formulas for a local volatility model with stochastic rates
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Options on realized variance by transform methods: a non-affine stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Local volatility in the Heston model: a Malliavin calculus approach
+Normal rank
@@ Property / cites work @@
+SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
+Normal rank
@@ Property / cites work @@
+Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
+Normal rank
@@ Property / cites work @@
+The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
+Normal rank
@@ Property / cites work @@
+Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
+Normal rank
@@ Property / cites work @@
+Q5520962
@@ Property / cites work: Q5520962 / rank @@
+Normal rank
@@ Property / cites work @@
+How to make Dupire’s local volatility work with jumps
+Normal rank
@@ Property / cites work @@
+Asymptotics of implied volatility to arbitrary order
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Equivalent Black volatilities
@@ Property / cites work: Equivalent Black volatilities / rank @@
+Normal rank
@@ Property / cites work @@
+Analysis, Geometry, and Modeling in Finance
@@ Property / cites work: Analysis, Geometry, and Modeling in Finance / 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 @@
+The Smile of Certain Lévy-Type Models
@@ Property / cites work: The Smile of Certain Lévy-Type Models / rank @@
+Normal rank
@@ Property / cites work @@
+From characteristic functions to implied volatility expansions
+Normal rank
@@ Property / cites work @@
+The Curious History of Faa di Bruno's Formula
@@ Property / cites work: The Curious History of Faa di Bruno's Formula / rank @@
+Normal rank
@@ Property / cites work @@
+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
+Normal rank
@@ Property / cites work @@
+The exact smile of certain local volatility models
+Normal rank
@@ Property / cites work @@
+Analytical Expansions for Parabolic Equations
@@ Property / cites work: Analytical Expansions for Parabolic Equations / rank @@
+Normal rank
@@ Property / cites work @@
+A family of density expansions for Lévy-type processes
+Normal rank
@@ Property / cites work @@
+Analytical approximation of the transition density in a local volatility model
+Normal rank
@@ Property / cites work @@
+Expansions asymptotiques pour équations paraboliques dégénérées
+Normal rank
@@ Property / cites work @@
+Adjoint Expansions in Local Lévy Models
@@ Property / cites work: Adjoint Expansions in Local Lévy Models / rank @@
+Normal rank
@@ Property / cites work @@
+PDE and martingale methods in option pricing.
@@ Property / cites work: PDE and martingale methods in option pricing. / rank @@
+Normal rank
@@ Property / cites work @@
+Derivatives of composite functions
@@ Property / cites work: Derivatives of composite functions / rank @@
+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 @@
+Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
+Normal rank
@@ Property / DOI @@
+.1111/MAFI.12105
@@ Property / DOI: 10.1111/MAFI.12105 / rank @@
+Normal rank