Black-Scholes in a CEV random environment (Q1648901)

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Language	Label	Description	Also known as
English	Black-Scholes in a CEV random environment	scientific article

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scholarly article

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Black-Scholes in a CEV random environment (English)

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zbMATH Open document ID

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10.1007/s11579-018-0211-x

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Antoine Jacquier

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Mathematics and Financial Economics

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publication date

5 July 2018

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full work available at URL

https://arxiv.org/abs/1503.08082

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Mathematics Subject Classification ID

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zbMATH DE Number

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zbMATH Keywords

volatility asymptotics

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random environment

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forward smile

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large deviations

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MaRDI profile type

MaRDI publication profile

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On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility

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Pricing and hedging derivative securities in markets with uncertain volatilities

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Asymptotics of Implied Volatility far from Maturity

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Bounds for ratios of modified Bessel functions and associated Turán-type inequalities

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Hybrid scheme for Brownian semistationary processes

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Can the implied volatility surface move by parallel shifts?

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Sharp Large Deviations for the Ornstein--Uhlenbeck Process

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The Pricing of Options and Corporate Liabilities

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Simulation of the CEV process and the local martingale property

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LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

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General Smile Asymptotics with Bounded Maturity

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Long memory in continuous-time stochastic volatility models

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Affine fractional stochastic volatility models

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Financial Modelling with Jump Processes

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Two examples of non strictly convex large deviations

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A theoretical framework for the pricing of contingent claims in the presence of model uncertainty

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Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications

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Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations

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Options on realized variance by transform methods: a non-affine stochastic volatility model

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The microstructural foundations of leverage effect and rough volatility

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SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL

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The large-maturity smile for the Heston model

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The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model

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Asymptotics for Rough Stochastic Volatility Models

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Approximation for Option Prices under Uncertain Volatility

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Asymptotic analysis for stochastic volatility: martingale expansion

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Volatility is rough

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Asymptotics of implied volatility to arbitrary order

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Asymptotic Behavior of the Fractional Heston Model

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Analytically tractable stochastic stock price models.

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Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Asymptotic behaviour of randomised fractional volatility models

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Large deviations and stochastic volatility with jumps: asymptotic implied volatility for affine models

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On VIX futures in the rough Bergomi model

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Pathwise large deviations for the rough Bergomi model

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Asymptotics of Forward Implied Volatility

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Large-maturity regimes of the Heston forward smile

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The Small-Maturity Heston Forward Smile

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The Randomized Heston Model

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Mathematical methods for financial markets.

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THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES

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Inequalities for generalized hypergeometric functions

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Uncertain volatility and the risk-free synthesis of derivatives

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Fractional Brownian Motions, Fractional Noises and Applications

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Turbocharging Monte Carlo pricing for the rough Bergomi model

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A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS

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Contingent Claims and Market Completeness in a Stochastic Volatility Model

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Pricing and Hedging in Exponential Lévy Models: Review of Recent Results

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Probability with Martingales

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