Reconstructing volatility: Pricing of index options under rough volatility (Q6054443): Difference between revisions

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+W4320011907
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+Application of large deviation methods to the pricing of index options in finance.
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+Computing the implied volatility in stochastic volatility models
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+Q3457552
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+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
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+Short-time near-the-money skew in rough fractional volatility models
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+A regularity structure for rough volatility
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+On the Probability Density Function of Baskets
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+Forward equations for option prices in semimartingale models
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+Mimicking an Itō process by a solution of a stochastic differential equation
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+Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
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+Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications
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+Local Volatility, Conditioned Diffusions, and Varadhan's Formula
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+Large deviations and asymptotic methods in finance
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+Precise asymptotics: robust stochastic volatility models
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+Asymptotics for Rough Stochastic Volatility Models
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+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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+Q5396410
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+Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models
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+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
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+Complete Models with Stochastic Volatility
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+Large and moderate deviations for stochastic Volterra systems
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+General Asymptotics of Wiener Functionals and Application to Implied Volatilities
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+Diffusion processes in a small time interval
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