New approximations in local volatility models
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Cites work
- Analysis, Geometry, and Modeling in Finance
- Analytical formulas for a local volatility model with stochastic rates
- Equivalent Black volatilities
- Expansion formulas for European options in a local volatility model
- scientific article; zbMATH DE number 1055921 (Why is no real title available?)
- Smart expansion and fast calibration for jump diffusions
- Stochastic Expansion for the Pricing of Call Options with Discrete Dividends
- Stochastic Volatility Model with Time‐dependent Skew
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- Time dependent Heston model
Cited in
(33)- Estimation of local volatilities in a generalized Black-Scholes model
- Option price decomposition in spot-dependent volatility models and some applications
- Asymptotic expansion for some local volatility models arising in finance
- On expansions for the Black-Scholes prices and hedge parameters
- Local volatility in the Heston model: a Malliavin calculus approach
- Asymptotic and non asymptotic approximations for option valuation
- Adjoint expansions in local Lévy models
- Analytical formulas for a local volatility model with stochastic rates
- Is the minimum value of an option on variance generated by local volatility?
- Explicit density approximations for local volatility models using heat kernel expansions
- Expansion formulas for European options in a local volatility model
- A novel Monte Carlo approach to hybrid local volatility models
- Approximations for Asian options in local volatility models
- Second order expansion for implied volatility in two factor local stochastic volatility models and applications to the dynamic -SABR model
- Extrapolation analytics for Dupire's local volatility
- Analytical approximations of local-Heston volatility model and error analysis
- Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs
- From local volatility to local Lévy models
- Indifference prices and implied volatilities
- Asymptotics and calibration of local volatility models
- Asymptotics of implied volatility in local volatility models
- Expansion formulas for bivariate payoffs with application to best-of options on equity and inflation
- Analytical pricing of single barrier options under local volatility models
- The collocating local volatility framework -- a fresh look at efficient pricing with smile
- scientific article; zbMATH DE number 7249206 (Why is no real title available?)
- A chaos expansion approach under hybrid volatility models
- On approximation of implied volatility in local volatility models
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
- The heat-kernel most-likely-path approximation
- The exact smile of certain local volatility models
- Local stochastic volatility with jumps: analytical approximations
- Local volatility function models under a benchmark approach
- Stochastic local volatility models and the Wei-Norman factorization method
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