Target volatility option pricing in the lognormal fractional SABR model (Q5234360): Difference between revisions

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-Elisa Alòs
@@ Property / author: Elisa Alòs / rank @@
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+Elisa Alòs
@@ Property / author: Elisa Alòs / rank @@
+Normal rank
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+MaRDI publication profile
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+W2785123668
@@ Property / OpenAlex ID: W2785123668 / rank @@
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@@ Property / arXiv ID @@
+.08215
@@ Property / arXiv ID: 1801.08215 / rank @@
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@@ Property / cites work @@
+Bridge representation and modal-path approximation
+Normal rank
@@ Property / cites work @@
+A generalization of the Hull and White formula with applications to option pricing approximation
+Normal rank
@@ Property / cites work @@
+A decomposition formula for option prices in the Heston model and applications to option pricing approximation
+Normal rank
@@ Property / cites work @@
+Malliavin differentiability of the Heston volatility and applications to option pricing
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@@ Property / cites work @@
+On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility
+Normal rank
@@ Property / cites work @@
+Pricing under rough volatility
@@ Property / cites work: Pricing under rough volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Hybrid scheme for Brownian semistationary processes
+Normal rank
@@ Property / cites work @@
+Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
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@@ Property / cites work @@
+TARGET VOLATILITY OPTION PRICING
@@ Property / cites work: TARGET VOLATILITY OPTION PRICING / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis for stochastic volatility: martingale expansion
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@@ Property / cites work @@
+Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility
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@@ Property / cites work @@
+Volatility is rough
@@ Property / cites work: Volatility is rough / rank @@
+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 @@
+PRICING JOINT CLAIMS ON AN ASSET AND ITS REALIZED VARIANCE IN STOCHASTIC VOLATILITY MODELS
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@@ Property / cites work @@
+The stochastic Fubini theorem revisited
@@ Property / cites work: The stochastic Fubini theorem revisited / rank @@
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@@ Property / cites work @@
+Variance-optimal hedging for target volatility options
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@@ links / mardi / name / links / mardi / name @@
+Publication:5234360