Marginal density expansions for diffusions and stochastic volatility. II: Applications
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Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A remark on the asymptotic expansion of density function of Wiener functionals
- Application of large deviation methods to the pricing of index options in finance.
- Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
- Asymptotics of implied volatility in local volatility models
- Asymptotics of implied volatility to arbitrary order
- Computing the implied volatility in stochastic volatility models
- Correlations and bounds for stochastic volatility models
- Diffusion processes in a small time interval
- Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus
- General Freidlin-Wentzell large deviations and positive diffusions
- Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
- Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations
- Methods de laplace et de la phase stationnaire sur l'espace de wiener
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- On refined volatility smile expansion in the Heston model
- Precise asymptotics of certain Wiener functionals
- REGULAR VARIATION AND SMILE ASYMPTOTICS
- Smile Asymptotics II: Models with Known Moment Generating Functions
- Some Applications and Methods of Large Deviations in Finance and Insurance
- Stochastic volatility models and Kelvin waves
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
Cited in
(26)- Black-Scholes in a CEV random environment
- Precise asymptotics: robust stochastic volatility models
- Intrinsic expansions for averaged diffusion processes
- Extreme-strike asymptotics for general Gaussian stochastic volatility models
- The large-maturity smile for the Stein-Stein model
- Symmetries and zero modes in sample path large deviations
- Asymptotics beats Monte Carlo: the case of correlated local vol baskets
- Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion
- Functional analytic (ir-)regularity properties of SABR-type processes
- scientific article; zbMATH DE number 3921650 (Why is no real title available?)
- Large deviation principle for Volterra type fractional stochastic volatility models
- General asymptotics of Wiener functionals and application to implied volatilities
- Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model
- Asymptotic expansion approach in finance
- On the probability density function of baskets
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula
- Option pricing in the moderate deviations regime
- Distance to the line in the Heston model
- Asymptotic behaviour of randomised fractional volatility models
- Short-time near-the-money skew in rough fractional volatility models
- Asymptotics of Forward Implied Volatility
- Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations
- Large-maturity regimes of the Heston forward smile
- Reconstructing volatility: Pricing of index options under rough volatility
- SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
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