Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion

DOI10.1137/140971397zbMath1356.91086arXiv1312.2281OpenAlexW3106051040WikidataQ125606082 ScholiaQ125606082MaRDI QIDQ2962132

Matthew Lorig, Hongzhong Zhang, Martin Forde, John Armstrong

Publication date: 16 February 2017

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.2281

zbMATH Keywords

stochastic volatilityheat kernel expansionimplied volatility asymptoticsSABR model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Diffusion processes (60J60) Large deviations (60F10) Derivative securities (option pricing, hedging, etc.) (91G20) Diffusion processes and stochastic analysis on manifolds (58J65) Heat and other parabolic equation methods for PDEs on manifolds (58J35)

Related Items (8)

SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$ ⋮ Short-time at-the-money skew and rough fractional volatility ⋮ A General Valuation Framework for SABR and Stochastic Local Volatility Models ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES ⋮ Stochastic local volatility models and the Wei-Norman factorization method ⋮ Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: option pricing and greeks ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models

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