On approximation of implied volatility in local volatility models

MaRDI QIDQ5254658zbMATH OpenFDO

Authors M. Pidkuĭko, Sergiĭ Pidkuĭko

Publication date 9 June 2015

zbMATH Keywords

local volatilityTaylor approximation

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Actuarial science and mathematical finance (91G99)

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Cited in

(12)

• Estimation of local volatilities in a generalized Black-Scholes model
• Explicit density approximations for local volatility models using heat kernel expansions
• Forward implied volatility expansion in time-dependent local volatility models
• A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
• Implied Volatility from Local Volatility: A Path Integral Approach
• New approximations in local volatility models
• Approximate Hedging in a Local Volatility Model with Proportional Transaction Costs
• Stability of an implicit method to evaluate option prices under local volatility with jumps
• scientific article; zbMATH DE number 7249206 (Why is no real title available?)
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
• Local volatility function models under a benchmark approach
• On the Skew and Curvature of the Implied and Local Volatilities

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