Pages that link to "Item:Q4429801"
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The following pages link to Singular Perturbations in Option Pricing (Q4429801):
Displayed 38 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 decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451) (← 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)
- 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)
- Calibration of Stock Betas from Skews of Implied Volatilities (Q3004479) (← 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)
- Asymptotic Pricing of Commodity Derivatives using Stochastic Volatility Spot Models (Q3617304) (← links)
- Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (Q3652704) (← links)
- Stochastic Volatility Corrections for Interest Rate Derivatives (Q4827310) (← links)
- Optimization of Gaussian Random Fields (Q5264151) (← links)
- Option pricing under hybrid stochastic and local volatility (Q5397448) (← links)
- A uniform asymptotic expansion for stochastic volatility model in pricing multi‐asset European options (Q5414507) (← links)
- PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH (Q5416705) (← links)