Exponentiation of conditional expectations under stochastic volatility
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Cites work
- A decomposition formula for option prices in the Heston model and applications to option pricing approximation
- A generalization of the Hull and White formula with applications to option pricing approximation
- Affine forward variance models
- From characteristic functions to implied volatility expansions
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Large deviations and asymptotic methods in finance
- Perfect hedging in rough Heston models
- Pricing under rough volatility
- Rational approximation of the rough Heston solution
- Skew and implied leverage effect: smile dynamics revisited
- Stochastic Taylor Expansions for Functionals of Diffusion Processes
- The characteristic function of rough Heston models
- The normalizing transformation of the implied volatility smile
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- VOLATILITY DERIVATIVES AND MODEL-FREE IMPLIED LEVERAGE
Cited in
(16)- Realized cumulants for martingales
- Forests, cumulants, martingales
- New directions in rough path theory. Abstracts from the workshop held December 6--12, 2020 (online meeting)
- Volatility and volatility-linked derivatives: estimation, modeling, and pricing
- Moment explosions in the rough Heston model
- CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS
- Fast hybrid schemes for fractional Riccati equations (rough is not so tough)
- Rational approximation of the rough Heston solution
- Unified signature cumulants and generalized Magnus expansions
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- Log-normal stochastic volatility model with quadratic drift
- The rough Hawkes Heston stochastic volatility model
- Holomorphic jump-diffusions
- Watanabe's expansion: a solution for the convexity conundrum
- Computing the SSR
- Signature SDEs from an affine and polynomial perspective
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