Maturity cycles in implied volatility
From MaRDI portal
Publication:1776013
DOI10.1007/s00780-004-0126-7zbMath1063.91066MaRDI QIDQ1776013
Jean-Pierre Fouque, Ronnie Sircar, George S. Papanicolaou, Knut Sølna
Publication date: 20 May 2005
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-004-0126-7
60F05: Central limit and other weak theorems
91B70: Stochastic models in economics
60H30: Applications of stochastic analysis (to PDEs, etc.)
Related Items
Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options, Short-time at-the-money skew and rough fractional volatility, Implied Filtering Densities on the Hidden State of Stochastic Volatility, On Smile Properties of Volatility Derivatives: Understanding the VIX Skew, Option pricing under fast‐varying long‐memory stochastic volatility, The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew, Asymptotic expansion for pricing options for a mean-reverting asset with multiscale stochastic volatility, Asymptotic analysis for stochastic volatility: martingale expansion, Index of function inversion, Selecting the best forecasting-implied volatility model using genetic programming, Asymptotic expansion formula of option price under multifactor Heston model, On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility, Closed-form implied volatility surfaces for stochastic volatility models with jumps, Strategic investment decisions under fast mean-reversion stochastic volatility, MULTISCALE STOCHASTIC VOLATILITY MODEL FOR DERIVATIVES ON FUTURES, Analytical Approximations of BSDEs with Nonsmooth Driver
