Pages that link to "Item:Q4429801"

The following pages link to Singular Perturbations in Option Pricing (Q4429801):

Displaying 50 items.

• Large deviations for some fast stochastic volatility models by viscosity methods (Q255794) (← links)
• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
• Optimal switching decisions under stochastic volatility with fast mean reversion (Q322644) (← links)
• Optimal control with random parameters: a multiscale approach (Q431771) (← links)
• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility (Q433133) (← links)
• Stochastic volatility asymptotics of stock loans: valuation and optimal stopping (Q439269) (← links)
• Option pricing under a stressed-beta model (Q470515) (← links)
• Expansions asymptotiques pour équations paraboliques dégénérées (Q479939) (← links)
• Asymptotic analysis for stochastic volatility: martingale expansion (Q484204) (← links)
• On a free boundary problem for an American put option under the CEV process (Q533479) (← links)
• Pricing perpetual American options under a stochastic-volatility model with fast mean reversion (Q550461) (← links)
• A generalization of the Hull and White formula with applications to option pricing approximation (Q854283) (← links)
• Lookback options and dynamic fund protection under multiscale stochastic volatility (Q882460) (← links)
• Calibration of a path-dependent volatility model: empirical tests (Q961413) (← links)
• Pricing options under stochastic volatility: a power series approach (Q964675) (← links)
• Matching asymptotics in path-dependent option pricing (Q968852) (← links)
• A remark on a singular perturbation method for option pricing under a stochastic volatility model (Q1044240) (← links)
• A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
• Turbo warrants under hybrid stochastic and local volatility (Q1724051) (← links)
• A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451) (← links)
• Option price decomposition in spot-dependent volatility models and some applications (Q1794087) (← links)
• Pricing external barrier options under a stochastic volatility model (Q2029429) (← links)
• Pricing of the geometric Asian options under a multifactor stochastic volatility model (Q2074887) (← links)
• Variable annuity with a surrender option under multiscale stochastic volatility (Q2111544) (← links)
• An asymptotic expansion approach to the valuation of vulnerable options under a multiscale stochastic volatility model (Q2131629) (← links)
• Pricing of vulnerable options under hybrid stochastic and local volatility (Q2137228) (← links)
• An asymptotic expansion method for geometric Asian options pricing under the double Heston model (Q2213442) (← links)
• The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model (Q2232189) (← links)
• European option pricing under Wishart processes (Q2240201) (← links)
• An approximation formula for the price of credit default swaps under the fast-mean reversion volatility model. (Q2315470) (← links)
• Valuation of credit derivatives with multiple time scales in the intensity model (Q2336889) (← links)
• Multiscale analysis of a perpetual American option with the stochastic elasticity of variance (Q2339015) (← links)
• A decreasing step method for strongly oscillating stochastic models (Q2341638) (← links)
• Pricing of options in the singular perturbed stochastic volatility model (Q2400320) (← links)
• Pricing collar options with stochastic volatility (Q2403864) (← links)
• Barrier option pricing under the 2-hypergeometric stochastic volatility model (Q2406299) (← links)
• On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (Q2463722) (← links)
• Matched asymptotic expansions in financial engineering (Q2501093) (← links)
• Asymptotics of Barrier Option Pricing Under the CEV Process (Q2786207) (← links)
• Convergence in multiscale financial models with non-Gaussian stochastic volatility (Q2808055) (← links)
• Riding on the smiles (Q2866376) (← links)
• MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES (Q2941058) (← links)
• Stochastic volatility asymptotics of defaultable interest rate derivatives under a quadratic Gaussian model (Q2951895) (← links)
• Calibration of Stock Betas from Skews of Implied Volatilities (Q3004479) (← links)
• Uncertain Volatility Models with Stochastic Bounds (Q3122062) (← links)
• Sharp connections between Berry-Esseen characteristics and Edgeworth expansions for stationary processes (Q3388496) (← links)
• Stochastic Volatility Effects on Defaultable Bonds (Q3424326) (← links)
• Multiscale Intensity Models for Single Name Credit Derivatives (Q3502204) (← links)
• Pricing Options on Defaultable Stocks* (Q3523656) (← links)