Displaced diffusion as an approximation of the constant elasticity of variance
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Cites work
- scientific article; zbMATH DE number 1243617 (Why is no real title available?)
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 2: Bermudan Options
- A TWO-REGIME, STOCHASTIC-VOLATILITY EXTENSION OF THE LIBOR MARKET MODEL
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Matched asymptotic expansions in financial engineering
- Stochastic Volatility Model with Time‐dependent Skew
- The pricing of options and corporate liabilities
- Volatility skews and extensions of the Libor market model
Cited in
(5)- A unified market model for swaptions and constant maturity swaps
- Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
- Properties of the elasticity of a continuous random variable. A special look at its behavior and speed of change
- On the Approximation of the SABR with Mean Reversion Model: A Probabilistic Approach
- Moment approximations of displaced forward-LIBOR rates with application to swaptions
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