Pages that link to "Item:Q484204"
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The following pages link to Asymptotic analysis for stochastic volatility: martingale expansion (Q484204):
Displayed 50 items.
- Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
- Does the Hurst index matter for option prices under fractional volatility? (Q525208) (← links)
- Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
- Perfect hedging in rough Heston models (Q1634189) (← links)
- Black-Scholes in a CEV random environment (Q1648901) (← links)
- Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach (Q1739059) (← links)
- On optimal investment with processes of long or negative memory (Q1743336) (← links)
- Strong convergence rates for Markovian representations of fractional processes (Q2033871) (← links)
- Mean-variance portfolio selection under Volterra Heston model (Q2045133) (← links)
- Large and moderate deviations for stochastic Volterra systems (Q2137754) (← links)
- Precise asymptotics: robust stochastic volatility models (Q2240838) (← links)
- Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing (Q2292042) (← links)
- Moment explosions in the rough Heston model (Q2292054) (← links)
- Asymptotic expansion formula of option price under multifactor Heston model (Q2398581) (← links)
- Pricing of options in the singular perturbed stochastic volatility model (Q2400320) (← links)
- On the martingale property in the rough Bergomi model (Q2422728) (← links)
- A semi-analytic pricing formula for lookback options under a general stochastic volatility model (Q2438502) (← links)
- Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
- The characteristic function of Gaussian stochastic volatility models: an analytic expression (Q2675814) (← links)
- Asymptotics for Rough Stochastic Volatility Models (Q2962133) (← links)
- Asymptotic Behavior of the Fractional Heston Model (Q4553801) (← links)
- On VIX futures in the rough Bergomi model (Q4554409) (← links)
- Volatility is rough (Q4554473) (← links)
- Short-time at-the-money skew and rough fractional volatility (Q4555069) (← links)
- Correction to Black--Scholes Formula Due to Fractional Stochastic Volatility (Q4607044) (← links)
- Pathwise large deviations for the rough Bergomi model (Q4611271) (← links)
- Turbocharging Monte Carlo pricing for the rough Bergomi model (Q4619528) (← links)
- On VIX futures in the rough Bergomi model (Q4957230) (← links)
- Short-Term At-the-Money Asymptotics under Stochastic Volatility Models (Q4968922) (← links)
- Markowitz Portfolio Selection for Multivariate Affine and Quadratic Volterra Models (Q4987721) (← links)
- Buy rough, sell smooth (Q4991027) (← links)
- Pricing under rough volatility (Q5001177) (← links)
- Volatility has to be rough (Q5014164) (← links)
- Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (Q5014167) (← links)
- Refinement by reducing and reusing random numbers of the Hybrid scheme for Brownian semistationary processes (Q5014246) (← links)
- ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE (Q5051949) (← links)
- Pricing Options under Rough Volatility with Backward SPDEs (Q5065084) (← links)
- The SINC way: a fast and accurate approach to Fourier pricing (Q5072903) (← links)
- Short-dated smile under rough volatility: asymptotics and numerics (Q5072906) (← links)
- Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model (Q5139245) (← links)
- Log-Modulated Rough Stochastic Volatility Models (Q5162852) (← links)
- Multifactor Approximation of Rough Volatility Models (Q5227408) (← links)
- Short-time near-the-money skew in rough fractional volatility models (Q5234338) (← links)
- Target volatility option pricing in the lognormal fractional SABR model (Q5234360) (← links)
- On the Curvature of the Smile in Stochastic Volatility Models (Q5280242) (← links)
- VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE (Q5411986) (← links)
- The characteristic function of rough Heston models (Q5743116) (← links)
- Option pricing under fast‐varying long‐memory stochastic volatility (Q5743117) (← links)
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)