APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059): Difference between revisions

Latest revision as of 09:47, 14 July 2024

scientific article; zbMATH DE number 6776140

Language	Label	Description	Also known as
English	APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH	scientific article; zbMATH DE number 6776140

Statements

instance of

scholarly article

0 references

title

APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (English)

0 references

published in

Probability in the Engineering and Informational Sciences

0 references

publication date

19 September 2017

0 references

zbMATH Keywords

local volatility functions

0 references

stochastic volatility models

0 references

closed-form expansion

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS

0 references

Markovian projection onto a Heston model

0 references

Smart Monte Carlo: various tricks using Malliavin calculus

0 references

Computing the implied volatility in stochastic volatility models

0 references

On the Malliavin approach to Monte Carlo approximation of conditional expectations

0 references

Transform Analysis and Asset Pricing for Affine Jump-diffusions

0 references

Applications of Malliavin calculus to Monte-Carlo methods in finance. II

0 references

Applications of Malliavin calculus to Monte Carlo methods in finance

0 references

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

0 references

THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION

0 references

Time Dependent Heston Model

0 references

Mimicking the one-dimensional marginal distributions of processes having an Ito differential

0 references

Analysis, Geometry, and Modeling in Finance

0 references

A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

0 references

Q5589245

0 references

Q4002114

0 references

The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims

0 references

On validity of the asymptotic expansion approach in contingent claim analysis

0 references

Maximum-likelihood estimation for diffusion processes via closed-form density expansions

0 references

Closed-Form Expansion, Conditional Expectation, and Option Valuation

0 references

Stochastic Volatility Model with Time‐dependent Skew

0 references

An asymptotic expansion approach to pricing financial contingent claims

0 references

Asymptotic expansion for small diffusions applied to option pricing

0 references

Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels

0 references

Approximate basket options valuation for a jump-diffusion model

0 references

Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method

0 references

Q4038332

0 references

Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe

0 references

Identifiers

zbMATH Open document ID

1414.91361

0 references

DOI

10.1017/S0269964815000182

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5358059

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS
+Normal rank
@@ Property / cites work @@
+Markovian projection onto a Heston model
@@ Property / cites work: Markovian projection onto a Heston model / rank @@
+Normal rank
@@ Property / cites work @@
+Smart Monte Carlo: various tricks using Malliavin calculus
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+On the Malliavin approach to Monte Carlo approximation of conditional expectations
+Normal rank
@@ Property / cites work @@
+Transform Analysis and Asset Pricing for Affine Jump-diffusions
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
+Normal rank
@@ Property / cites work @@
+Applications of Malliavin calculus to Monte Carlo methods in finance
+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 @@
+Time Dependent Heston Model
@@ Property / cites work: Time Dependent Heston Model / rank @@
+Normal rank
@@ Property / cites work @@
+Mimicking the one-dimensional marginal distributions of processes having an Ito differential
+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 @@
+Q5589245
@@ Property / cites work: Q5589245 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims
+Normal rank
@@ Property / cites work @@
+On validity of the asymptotic expansion approach in contingent claim analysis
+Normal rank
@@ Property / cites work @@
+Maximum-likelihood estimation for diffusion processes via closed-form density expansions
+Normal rank
@@ Property / cites work @@
+Closed-Form Expansion, Conditional Expectation, and Option Valuation
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility Model with Time‐dependent Skew
+Normal rank
@@ Property / cites work @@
+An asymptotic expansion approach to pricing financial contingent claims
+Normal rank
@@ Property / cites work @@
+Asymptotic expansion for small diffusions applied to option pricing
+Normal rank
@@ Property / cites work @@
+Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels
+Normal rank
@@ Property / cites work @@
+Approximate basket options valuation for a jump-diffusion model
+Normal rank
@@ Property / cites work @@
+Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
+Normal rank
@@ Property / cites work @@
+Q4038332
@@ Property / cites work: Q4038332 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5358059