Adjoint Expansions in Local Lévy Models
From MaRDI portal
Publication:2873128
DOI10.1137/110858732zbMath1285.60084OpenAlexW3124880381MaRDI QIDQ2873128
Stefano Pagliarani, Candia Riga, Andrea Pascucci
Publication date: 23 January 2014
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://mpra.ub.uni-muenchen.de/35788/3/MPRA_paper_35788.pdf
Lévy processanalytical approximationlocal volatilitypartial integro-differential equationFourier methods
Applications of stochastic analysis (to PDEs, etc.) (60H30) PDEs with randomness, stochastic partial differential equations (35R60)
Related Items
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS, Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio, Asymptotics for $$d$$ -Dimensional Lévy-Type Processes, Pricing Bermudan options under local Lévy models with default, Double discretization difference schemes for partial integrodifferential option pricing jump diffusion models, Analytical approximation of the transition density in a local volatility model, Expansions asymptotiques pour équations paraboliques dégénérées, Efficient Computation of Various Valuation Adjustments Under Local Lévy Models, LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS, Pricing approximations and error estimates for local Lévy-type models with default, A family of density expansions for Lévy-type processes, Large-maturity regimes of the Heston forward smile, Asymptotic expansion for some local volatility models arising in finance, A positivity-preserving numerical scheme for option pricing model with transaction costs under jump-diffusion process, Asymptotics of Forward Implied Volatility, Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate, Analytical Expansions for Parabolic Equations, CCF approach for asymptotic option pricing under the CEV diffusion
