Pages that link to "Item:Q5283408"

The following pages link to EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408):

Displaying 28 items.

• Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158) (← links)
• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• Pricing approximations and error estimates for local Lévy-type models with default (Q2006127) (← links)
• The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications (Q2030533) (← links)
• The averaging principle for non-autonomous slow-fast stochastic differential equations and an application to a local stochastic volatility model (Q2232189) (← links)
• The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model (Q2246618) (← links)
• Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← links)
• Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
• Options on bonds: implied volatilities from affine short-rate dynamics (Q2672920) (← links)
• Robust Numerical Calibration for Implied Volatility Expansion Models (Q2953945) (← links)
• Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132) (← links)
• Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio (Q3188150) (← links)
• Analytical Approximations of BSDEs with Nonsmooth Driver (Q3195111) (← links)
• A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
• On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
• Optimal static quadratic hedging (Q4554507) (← links)
• A novel Monte Carlo approach to hybrid local volatility models (Q4555144) (← links)
• Asymptotics for $$d$$ -Dimensional Lévy-Type Processes (Q4560337) (← links)
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio (Q4579825) (← links)
• Mass at zero in the uncorrelated SABR model and implied volatility asymptotics (Q4619519) (← links)
• INDIFFERENCE PRICES AND IMPLIED VOLATILITIES (Q4635045) (← links)
• ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE (Q5051949) (← links)
• Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility (Q5094574) (← 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)
• 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)