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
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+Stochastic Volatility Corrections for Interest Rate Derivatives
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+THE GARCH OPTION PRICING MODEL
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+Q4226821
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+Q4509488
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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
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+Equivalent Black volatilities
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+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
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+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
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