Option pricing in the moderate deviations regime (Q4581294): Difference between revisions

From MaRDI portal
Importer (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Forward equations for option prices in semimartingale models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics and calibration of local volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computing the implied volatility in stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4726487 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mimicking an Itō process by a solution of a stochastic differential equation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Central limit theorem and moderate deviation principle for CKLS model with small random perturbation / rank
 
Normal rank
Property / cites work
 
Property / cites work: General Smile Asymptotics with Bounded Maturity / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4391441 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations / rank
 
Normal rank
Property / cites work
 
Property / cites work: Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications / rank
 
Normal rank
Property / cites work
 
Property / cites work: Nonparametric estimation for stochastic volatility models / rank
 
Normal rank
Property / cites work
 
Property / cites work: SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL / rank
 
Normal rank
Property / cites work
 
Property / cites work: Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics for Rough Stochastic Volatility Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Extrapolation Analytics for Dupire’s Local Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: How to make Dupire’s local volatility work with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Moderate deviations for sums of dependent claims in a size-dependent renewal risk model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic behaviors for functionals of random dynamical systems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotics of implied volatility to arbitrary order / rank
 
Normal rank
Property / cites work
 
Property / cites work: ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Behavior of the Fractional Heston Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Averaging principle of SDE with small diffusion: Moderate deviations / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Gärtner-Ellis Theorem, Homogenization, and Affine Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analysis, Geometry, and Modeling in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4002114 / rank
 
Normal rank
Property / cites work
 
Property / cites work: MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4942767 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS / rank
 
Normal rank
Property / cites work
 
Property / cites work: Small-Time Asymptotics of Option Prices and First Absolute Moments / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4059363 / rank
 
Normal rank
Property / cites work
 
Property / cites work: General Asymptotics of Wiener Functionals and Application to Implied Volatilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Analytical approximation of the transition density in a local volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Asymptotic Implied Volatility at the Second Order with Application to the SABR Model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Uniform Bounds for Black--Scholes Implied Volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Diffusion processes in a small time interval / rank
 
Normal rank

Latest revision as of 09:57, 16 July 2024

scientific article; zbMATH DE number 6919654
Language Label Description Also known as
English
Option pricing in the moderate deviations regime
scientific article; zbMATH DE number 6919654

    Statements

    Option pricing in the moderate deviations regime (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    16 August 2018
    0 references
    0 references
    0 references
    0 references
    0 references
    asymptotics
    0 references
    implied volatility
    0 references
    moderate deviations
    0 references
    option pricing
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references