Pages that link to "Item:Q4919611"
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The following pages link to ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (Q4919611):
Displayed 18 items.
- A recursive method for static replication of autocallable structured products (Q5234318) (← links)
- Short Maturity Forward Start Asian Options in Local Volatility Models (Q5241901) (← links)
- Asymptotics of Forward Implied Volatility (Q5250047) (← links)
- SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS (Q5265240) (← links)
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059) (← links)
- Third-order short-time expansions for close-to-the-money option prices under the CGMY model (Q5373916) (← links)
- LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
- HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations (Q5746482) (← links)
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (Q5746487) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)
- Reconstructing volatility: Pricing of index options under rough volatility (Q6054443) (← links)
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
- Approximate solutions to second-order parabolic equations: evolution systems and discretization (Q6105353) (← links)
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (Q6106934) (← links)
- SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS (Q6119776) (← links)
- Local volatility under rough volatility (Q6187367) (← links)