APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
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Cites work
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- MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS
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Cited in
(8)- Estimation of local volatilities in a generalized Black-Scholes model
- Asymptotic expansion for some local volatility models arising in finance
- Explicit density approximations for local volatility models using heat kernel expansions
- A novel Monte Carlo approach to hybrid local volatility models
- scientific article; zbMATH DE number 7249206 (Why is no real title available?)
- Local volatility function models under a benchmark approach
- Pricing VIX derivatives using a stochastic volatility model with a flexible jump structure
- Stochastic local volatility models and the Wei-Norman factorization method
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