New Approximations in Local Volatility Models (Q4561938): Difference between revisions

@@ Property / cites work @@
+Smart expansion and fast calibration for jump diffusions
+Normal rank
@@ Property / cites work @@
+Analytical formulas for a local volatility model with stochastic rates
+Normal rank
@@ Property / cites work @@
+EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL
+Normal rank
@@ Property / cites work @@
+Time Dependent Heston Model
@@ Property / cites work: Time Dependent Heston Model / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
+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 @@
+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
+Normal rank
@@ Property / cites work @@
+Q4350437
@@ Property / cites work: Q4350437 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility Model with Time‐dependent Skew
+Normal rank