Extrapolation analytics for Dupire's local volatility

DOI10.1007/978-3-319-11605-1_10MaRDI QIDQ4560335zbMATH OpenOpenAlexFDO

Authors Peter Friz, Stefan Gerhold

Publication date 11 December 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-11605-1_10

zbMATH Keywords

contour integrationlocal volatilitysaddle point methods

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• New approximations in local volatility models
• Asymptotics and calibration of local volatility models
• Asymptotic and non asymptotic approximations for option valuation
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula
• Local stochastic volatility with jumps: analytical approximations

Cites work

• Convergence of Heston to SVI
• From local volatility to local Lévy models
• How to make Dupire's local volatility work with jumps
• Marking in combinatorial constructions: Generating functions and limiting distributions
• Moment explosions and long-term behavior of affine stochastic volatility models
• On refined volatility smile expansion in the Heston model
• Singularity Analysis of Generating Functions
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• The Variance Gamma Process and Option Pricing

Cited in

(4)

• Difference Equation Theory Meets Mathematical Finance
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula
• Option pricing in the moderate deviations regime
• Asymptotics of some generalized Mathieu series

Describes a project that uses

Uses Software

• DLMF

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