Local stochastic volatility with jumps: analytical approximations
From MaRDI portal
analytical approximationcharacteristic functionFourier methodslocal stochastic volatilityLévy processpartial integro-differential equation
Integro-partial differential equations (45K05) Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Numerical methods (including Monte Carlo methods) (91G60)
Recommendations
- New approximations in local volatility models
- Analytical formulas for a local volatility model with stochastic rates
- Adjoint expansions in local Lévy models
- Analytical approximations of local-Heston volatility model and error analysis
- An asymptotic expansion for local-stochastic volatility with jump models
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A novel pricing method for European options based on Fourier-cosine series expansions
- Adjoint expansions in local Lévy models
- Asymptotic approximations to deterministic and stochastic volatility models
- Asymptotics of implied volatility in local volatility models
- Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method
- Complex logarithms in Heston-like models
- Computing the implied volatility in stochastic volatility models
- Equivalent Black volatilities
- Expansion formulas for European options in a local volatility model
- Matched asymptotic expansions in financial engineering
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- Multiscale stochastic volatility for equity, interest rate, and credit derivatives.
- Option pricing when underlying stock returns are discontinuous
- PDE and martingale methods in option pricing.
- Pricing options under stochastic volatility: a power series approach
- RISK SENSITIVITIES OF BERMUDA SWAPTIONS
- Smart expansion and fast calibration for jump diffusions
- THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Two singular diffusion problems
Cited in
(29)- Pricing approximations and error estimates for local Lévy-type models with default
- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
- Local SIML estimation of some Brownian and jump functionals under market micro-structure noise
- A family of density expansions for Lévy-type processes
- Asymptotic and non asymptotic approximations for option valuation
- Adjoint expansions in local Lévy models
- Analytical formulas for a local volatility model with stochastic rates
- An asymptotic expansion for local-stochastic volatility with jump models
- Complex logarithms in Heston-like models
- Extrapolation analytics for Dupire's local volatility
- Asymptotics for d -Dimensional Lévy-Type Processes
- Asymptotic expansion approach in finance
- New approximations in local volatility models
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula
- Analytical approximations of local-Heston volatility model and error analysis
- From local volatility to local Lévy models
- Decomposition formula for jump diffusion models
- An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
- LSV models with stochastic interest rates and correlated jumps
- scientific article; zbMATH DE number 7409459 (Why is no real title available?)
- Pricing average and spread options under local-stochastic volatility jump-diffusion models
- How to make Dupire's local volatility work with jumps
- Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
- Analytical solvability and exact simulation in models with affine stochastic volatility and Lévy jumps
- A stochastic-local volatility model with Lévy jumps for pricing derivatives
- Asymptotics for short maturity Asian options in jump-diffusion models with local volatility
- A hybrid Crank-Nicolson and Morgan-Voyce collocation method for option pricing pides
- Watanabe's expansion: a solution for the convexity conundrum
This page was built for publication: Local stochastic volatility with jumps: analytical approximations
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5411747)
