Pages that link to "Item:Q2953946"

The following pages link to Short Maturity Asian Options in Local Volatility Models (Q2953946):

Displaying 15 items.

• Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models (Q2022921) (← links)
• Asymptotics for volatility derivatives in multi-factor rough volatility models (Q2037765) (← links)
• Density estimates and short-time asymptotics for a hypoelliptic diffusion process (Q2074984) (← links)
• Short maturity conditional Asian options in local volatility models (Q2175467) (← links)
• On the distribution of the time-integral of the geometric Brownian motion (Q2237931) (← links)
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition (Q2674299) (← links)
• MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS (Q4584697) (← links)
• SENSITIVITIES OF ASIAN OPTIONS IN THE BLACK–SCHOLES MODEL (Q4608115) (← links)
• SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (Q4631699) (← links)
• ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE (Q5051949) (← links)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options (Q5233177) (← links)
• Short Maturity Forward Start Asian Options in Local Volatility Models (Q5241901) (← links)
• SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL (Q6095474) (← links)
• Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion (Q6106550) (← links)