Pages that link to "Item:Q2879012"

The following pages link to Arbitrage-free SVI volatility surfaces (Q2879012):

Displaying 45 items.

• A simple efficient approximation to price basket stock options with volatility smile (Q525204) (← links)
• Smiles \& smirks: volatility and leverage by jumps (Q2076900) (← links)
• An inverse problem of reconstructing option drift rate from market observation data (Q2126775) (← links)
• A new class of multidimensional Wishart-based hybrid models (Q2145697) (← links)
• Arbitrage-free interpolation of call option prices (Q2173277) (← links)
• A Black-Scholes inequality: applications and generalisations (Q2282961) (← links)
• Robust calibration and arbitrage-free interpolation of SSVI slices (Q2292060) (← links)
• A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy (Q2331013) (← links)
• Functional Ross recovery: theoretical results and empirical tests (Q2338541) (← links)
• A general closed form option pricing formula (Q2418424) (← links)
• Extreme-strike asymptotics for general Gaussian stochastic volatility models (Q2422124) (← links)
• On the utility maximization of the discrepancy between a perceived and market implied risk neutral distribution (Q2672147) (← links)
• BENCHOP – The BENCHmarking project in option pricing (Q2804496) (← links)
• Variance Swaps on Defaultable Assets and Market Implied Time-Changes (Q2813077) (← links)
• Generalized Arbitrage-Free SVI Volatility Surfaces (Q2819096) (← links)
• LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES (Q2968277) (← links)
• CONVEX REGULARIZATION OF LOCAL VOLATILITY ESTIMATION (Q2970321) (← links)
• A finite volume – alternating direction implicit approach for the calibration of stochastic local volatility models (Q3174925) (← links)
• On VIX futures in the rough Bergomi model (Q4554409) (← links)
• Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula (Q4554443) (← links)
• Volatility is rough (Q4554473) (← links)
• Implied Volatility from Local Volatility: A Path Integral Approach (Q4560334) (← links)
• Extreme-Strike Comparisons and Structural Bounds for SPX and VIX Options (Q4579824) (← links)
• Analysis of VIX Markets with a Time-Spread Portfolio (Q4585683) (← links)
• Shapes of Implied Volatility with Positive Mass at Zero (Q4607048) (← links)
• On VIX futures in the rough Bergomi model (Q4957230) (← links)
• Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles (Q4988551) (← links)
• On the Harmonic Mean Representation of the Implied Volatility (Q4988554) (← links)
• Detecting and Repairing Arbitrage in Traded Option Prices (Q4994674) (← links)
• Pricing under rough volatility (Q5001177) (← links)
• Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (Q5014167) (← links)
• Empirical analysis of rough and classical stochastic volatility models to the SPX and VIX markets (Q5041663) (← links)
• No Arbitrage SVI (Q5065089) (← links)
• Short Communication: Beyond Surrogate Modeling: Learning the Local Volatility via Shape Constraints (Q5162840) (← links)
• On the modelling of nested risk-neutral stochastic processes with applications in insurance (Q5373909) (← links)
• VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS (Q5878692) (← links)
• \(\ell_1\)-constrained implied transition densities (Q6049315) (← links)
• Perturbation analysis of sub/super hedging problems (Q6054380) (← links)
• Arbitrage-Free Neural-SDE Market Models (Q6092913) (← links)
• Pricing autocallables under local-stochastic volatility (Q6105374) (← links)
• Simulation of Arbitrage-Free Implied Volatility Surfaces (Q6148557) (← links)
• Hedging cryptocurrency options (Q6154211) (← links)
• Extensions of Dupire Formula: Stochastic Interest Rates and Stochastic Local Volatility (Q6159078) (← links)
• Impact of rough stochastic volatility models on long-term life insurance pricing (Q6173889) (← links)
• The log‐moment formula for implied volatility (Q6187368) (← links)