A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204): Difference between revisions

@@ Property / cites work @@
+Closed-form likelihood expansions for multivariate diffusions
+Normal rank
@@ Property / cites work @@
+Q4327845
@@ Property / cites work: Q4327845 / rank @@
+Normal rank
@@ Property / cites work @@
+Cauchy problems for parabolic equations in Sobolev-Slobodeckii and Hölder spaces on uniformly regular Riemannian manifolds
+Normal rank
@@ Property / cites work @@
+Linear parabolic equations with strong boundary degeneration
+Normal rank
@@ Property / cites work @@
+Sobolev spaces on Lie manifolds and regularity for polyhedral domains
+Normal rank
@@ Property / cites work @@
+On the geometry of Riemannian manifolds with a Lie structure at infinity
+Normal rank
@@ Property / cites work @@
+Parabolic equations with unbounded coefficients
@@ Property / cites work: Parabolic equations with unbounded coefficients / rank @@
+Normal rank
@@ Property / cites work @@
+Improving the Rate of Convergence of High-Order Finite Elements on Polyhedra I:<i>A Priori</i>Estimates
+Normal rank
@@ Property / cites work @@
+The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework
+Normal rank
@@ Property / cites work @@
+Navier-Stokes Equations in Planar Domains
@@ Property / cites work: Navier-Stokes Equations in Planar Domains / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics and calibration of local volatility models
+Normal rank
@@ Property / cites work @@
+Computing the implied volatility in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing
+Normal rank
@@ Property / cites work @@
+Explicit form of approximate transition probability density functions of diffusion processes
+Normal rank
@@ Property / cites work @@
+OBSERVATIONS ON GAUSSIAN UPPER BOUNDS FOR NEUMANN HEAT KERNELS
+Normal rank
@@ Property / cites work @@
+ANALYTIC REGULARITY FOR LINEAR ELLIPTIC SYSTEMS IN POLYGONS AND POLYHEDRA
+Normal rank
@@ Property / cites work @@
+Approximate solutions to second order parabolic equations. I: Analytic estimates
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility Corrections for Interest Rate Derivatives
+Normal rank
@@ Property / cites work @@
+An efficient box-scheme for convection-diffusion equations with sharp contrast in the diffusion coefficients
+Normal rank
@@ Property / cites work @@
+Q4828653
@@ Property / cites work: Q4828653 / rank @@
+Normal rank
@@ Property / cites work @@
+Elliptic boundary value problems on corner domains. Smoothness and asymptotics of solutions
+Normal rank
@@ Property / cites work @@
+Parabolic differential equations with unbounded coefficients -- A generalization of the parametrix method
+Normal rank
@@ Property / cites work @@
+CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
+Normal rank
@@ Property / cites work @@
+Boundary Values and Finite Difference Methods for the Single Factor Term Structure Equation
+Normal rank
@@ Property / cites work @@
+The Black-Scholes equation in stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Boundary conditions for the single-factor term structure equation
+Normal rank
@@ Property / cites work @@
+Degenerate-elliptic operators in mathematical finance and higher-order regularity for solutions to variational equations
+Normal rank
@@ Property / cites work @@
+Two singular diffusion problems
@@ Property / cites work: Two singular diffusion problems / rank @@
+Normal rank
@@ Property / cites work @@
+The parabolic differential equations and the associated semigroups of transformation
+Normal rank
@@ Property / cites work @@
+Spectral Decomposition of Option Prices in Fast Mean-Reverting Stochastic Volatility Models
+Normal rank
@@ Property / cites work @@
+Q4509488
@@ Property / cites work: Q4509488 / rank @@
+Normal rank
@@ Property / cites work @@
+Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
+Normal rank
@@ Property / cites work @@
+ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+TIGHTER BOUNDS FOR IMPLIED VOLATILITY
@@ Property / cites work: TIGHTER BOUNDS FOR IMPLIED VOLATILITY / rank @@
+Normal rank
@@ Property / cites work @@
+TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
+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 @@
+Probability Distribution in the SABR Model of Stochastic Volatility
+Normal rank
@@ Property / cites work @@
+Equivalent Black volatilities
@@ Property / cites work: Equivalent Black volatilities / rank @@
+Normal rank
@@ Property / cites work @@
+Solvable local and stochastic volatility models: supersymmetric methods in option pricing
+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 @@
+Computational methods for quantitative finance. Finite element methods for derivative pricing
+Normal rank
@@ Property / cites work @@
+A parametrix approach for some degenerate stable driven SDEs
+Normal rank
@@ Property / cites work @@
+Explicit parametrix and local limit theorems for some degenerate diffusion processes
+Normal rank
@@ Property / cites work @@
+On linear elliptic and parabolic equations with growing drift in Sobolev spaces without weights
+Normal rank
@@ Property / cites work @@
+A Sobolev Space Theory of SPDEs with Constant Coefficients in a Half Space
+Normal rank
@@ Property / cites work @@
+Elliptic and Parabolic Second-Order PDEs with Growing Coefficients
+Normal rank
@@ Property / cites work @@
+Q4942767
@@ Property / cites work: Q4942767 / rank @@
+Normal rank
@@ Property / cites work @@
+A-priori analysis and the finite element method for a class of degenerate elliptic equations
+Normal rank
@@ Property / cites work @@
+TIME‐CHANGED ORNSTEIN–UHLENBECK PROCESSES AND THEIR APPLICATIONS IN COMMODITY DERIVATIVE MODELS
+Normal rank
@@ Property / cites work @@
+Analysis of the finite element method for transmission/mixed boundary value problems on general polygonal domains
+Normal rank
@@ Property / cites work @@
+Large Investor Trading Impacts on Volatility
@@ Property / cites work: Large Investor Trading Impacts on Volatility / rank @@
+Normal rank
@@ Property / cites work @@
+Q5628582
@@ Property / cites work: Q5628582 / rank @@
+Normal rank
@@ Property / cites work @@
+Correlations and bounds for stochastic volatility models
+Normal rank
@@ Property / cites work @@
+Analytical Expansions for Parabolic Equations
@@ Property / cites work: Analytical Expansions for Parabolic Equations / rank @@
+Normal rank
@@ Property / cites work @@
+EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS
+Normal rank
@@ Property / cites work @@
+Space-time adaptive finite difference method for European multi-asset options
+Normal rank
@@ Property / cites work @@
+Stochastic calculus of variations in mathematical finance.
+Normal rank
@@ Property / cites work @@
+MAPPING PROPERTIES OF HEAT KERNELS, MAXIMAL REGULARITY, AND SEMI-LINEAR PARABOLIC EQUATIONS ON NONCOMPACT MANIFOLDS
+Normal rank
@@ Property / cites work @@
+Convergent Difference Schemes for Degenerate Elliptic and Parabolic Equations: Hamilton--Jacobi Equations and Free Boundary Problems
+Normal rank
@@ Property / cites work @@
+Adaptive finite difference methods for nonlinear elliptic and parabolic partial differential equations with free boundaries
+Normal rank
@@ Property / cites work @@
+Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion
+Normal rank
@@ Property / cites work @@
+Analytical approximation of the transition density in a local volatility model
+Normal rank
@@ Property / cites work @@
+PDE and martingale methods in option pricing.
@@ Property / cites work: PDE and martingale methods in option pricing. / rank @@
+Normal rank
@@ Property / cites work @@
+Semigroups of linear operators and applications to partial differential equations
+Normal rank
@@ Property / cites work @@
+Asymptotics for the Euler-discretized Hull-White stochastic volatility model
+Normal rank
@@ Property / cites work @@
+SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL
+Normal rank
@@ Property / cites work @@
+AN EXPLICIT IMPLIED VOLATILITY FORMULA
@@ Property / cites work: AN EXPLICIT IMPLIED VOLATILITY FORMULA / rank @@
+Normal rank
@@ Property / cites work @@
+Q3532992
@@ Property / cites work: Q3532992 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4621337
@@ Property / cites work: Q4621337 / rank @@
+Normal rank