Pages that link to "Item:Q2922151"
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The following pages link to Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (Q2922151):
Displaying 14 items.
- Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets (Q495066) (← links)
- A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance (Q1698923) (← links)
- Density estimates and short-time asymptotics for a hypoelliptic diffusion process (Q2074984) (← links)
- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
- Asymptotic expansion for some local volatility models arising in finance (Q2292052) (← links)
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
- Smoothing the payoff for efficient computation of Basket option prices (Q4554434) (← links)
- Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
- Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332) (← links)
- Asymptotic Expansion Approach in Finance (Q4560338) (← links)
- Implied stopping rules for American basket options from Markovian projection (Q5234298) (← links)
- AN APPROXIMATION METHOD FOR PRICING CONTINUOUS BARRIER OPTIONS UNDER MULTI-ASSET LOCAL STOCHASTIC VOLATILITY MODELS (Q5854319) (← links)
- Tail behavior of sums and differences of log-normal random variables (Q5963508) (← links)