Smiles \& smirks: volatility and leverage by jumps
From MaRDI portal
Publication:2076900
Recommendations
Cites work
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A data-driven framework for consistent financial valuation and risk measurement
- A didactic note on affine stochastic volatility models
- A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps
- A general framework for time-changed Markov processes and applications
- A neural network-based framework for financial model calibration
- A novel pricing method for European options based on Fourier-cosine series expansions
- An investigation of model risk in a market with jumps and stochastic volatility
- Analysis of Fourier transform valuation formulas and applications
- Arbitrage-free SVI volatility surfaces
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
- Efficient Option Pricing by Frame Duality with the Fast Fourier Transform
- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Exotic option pricing and advanced Lévy models.
- Exponential families of stochastic processes
- Heston stochastic vol-of-vol model for joint calibration of VIX and S\&P 500 options
- scientific article; zbMATH DE number 48952 (Why is no real title available?)
- Hyperbolic distributions in finance
- Integrated OU Processes and Non‐Gaussian OU‐based Stochastic Volatility Models
- Integrated structural approach to credit value adjustment
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
- Mathematical finance
- Modelling tail risk with tempered stable distributions: an overview
- Multivariate FX models with jumps: triangles, quantos and implied correlation
- Option pricing when underlying stock returns are discontinuous
- Pricing options on variance in affine stochastic volatility models
- Quantization meets Fourier: a new technology for pricing options
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Stochastic Volatility for Lévy Processes
- The pricing of options and corporate liabilities
- The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well
- The Variance Gamma Process and Option Pricing
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Variance swap with mean reversion, multifactor stochastic volatility and jumps
- VIX derivatives, hedging and vol-of-vol risk
Cited in
(17)- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- Level and slope of volatility smiles in long-run risk models
- Leveraged Lévy processes as models for stock prices
- MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
- Stochastic jump intensity models
- Valuation of asset and volatility derivatives using decoupled time-changed Lévy processes
- Short positions, rally fears and option markets
- Adaptive mixture for a controlled smile: the LT model
- Additive normal tempered stable processes for equity derivatives and power-law scaling
- A stochastic-local volatility model with Lévy jumps for pricing derivatives
- Exact simulation of the multifactor Ornstein-Uhlenbeck driven stochastic volatility model
- Exact simulation of stochastic volatility models based on conditional Fourier-cosine method
- Multivariate Lévy models: calibration and pricing
- Fifty years at the interface between financial modeling and operations research
- The term structure of implied correlations between S\&P and VIX markets
- Calibration and option pricing with stochastic volatility and double exponential jumps
- Counting jumps: does the counting process count?
This page was built for publication: Smiles \& smirks: volatility and leverage by jumps
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2076900)
