Pages that link to "Item:Q2922151"

The following pages link to Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (Q2922151):

Displayed 14 items.

• Analytical approximation of the transition density in a local volatility model (Q432231) ‎ (← links)
• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066) ‎ (← links)
• A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance (Q1698923) ‎ (← links)
• Density estimates and short-time asymptotics for a hypoelliptic diffusion process (Q2074984) ‎ (← links)
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) ‎ (← links)
• Asymptotic expansion for some local volatility models arising in finance (Q2292052) ‎ (← links)
• On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) ‎ (← links)
• Smoothing the payoff for efficient computation of Basket option prices (Q4554434) ‎ (← links)
• Implied Volatility of Basket Options at Extreme Strikes (Q4560331) ‎ (← links)
• Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332) ‎ (← links)
• Asymptotic Expansion Approach in Finance (Q4560338) ‎ (← links)
• Implied stopping rules for American basket options from Markovian projection (Q5234298) ‎ (← links)
• AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS (Q5854319) ‎ (← links)
• Tail behavior of sums and differences of log-normal random variables (Q5963508) ‎ (← links)