Pages that link to "Item:Q432231"

The following pages link to Analytical approximation of the transition density in a local volatility model (Q432231):

Displaying 31 items.

• Explicit density approximations for local volatility models using heat kernel expansions (Q340130) (← links)
• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• Expansions asymptotiques pour équations paraboliques dégénérées (Q479939) (← links)
• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model (Q2045957) (← links)
• Local densities for a class of degenerate diffusions (Q2179637) (← links)
• Computing the CEV option pricing formula using the semiclassical approximation of path integral (Q2223839) (← links)
• A family of density expansions for Lévy-type processes (Q2258531) (← links)
• Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
• (Q2364532) (redirect page) (← links)
• Options on bonds: implied volatilities from affine short-rate dynamics (Q2672920) (← links)
• Model and numerical methods for pricing renewable energy certificate derivatives (Q2684158) (← links)
• General Smile Asymptotics with Bounded Maturity (Q2832614) (← links)
• Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio (Q3188150) (← links)
• A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
• Optimal static quadratic hedging (Q4554507) (← links)
• Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337) (← links)
• Option pricing in the moderate deviations regime (Q4581294) (← links)
• Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (Q4619519) (← links)
• OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT (Q4631694) (← links)
• EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
• INDIFFERENCE PRICES AND IMPLIED VOLATILITIES (Q4635045) (← links)
• Short-Term At-the-Money Asymptotics under Stochastic Volatility Models (Q4968922) (← links)
• CCF approach for asymptotic option pricing under the CEV diffusion (Q5030626) (← links)
• Closed-form Arrow-Debreu pricing for the Hull-White short rate model (Q5120737) (← links)
• The implied Sharpe ratio (Q5139210) (← links)
• Analytical Expansions for Parabolic Equations (Q5264986) (← links)
• EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
• LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
• The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
• Approximate solutions to second-order parabolic equations: evolution systems and discretization (Q6105353) (← links)
• SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS (Q6119776) (← links)