Explicit density approximations for local volatility models using heat kernel expansions

DOI10.1007/S11009-015-9463-6zbMATH Open1349.35149OpenAlexW3121739172MaRDI QIDQ340130FDOQ340130

Authors: Stephen Taylor, Scott Glasgow, James Taylor, Jan Vecer 

Publication date: 11 November 2016

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-015-9463-6

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zbMATH Keywords

CEV modellocal volatilityheat kernel expansionshort rate models

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)

Cites Work

• The pricing of options and corporate liabilities
• Two singular diffusion problems
• Title not available (Why is that?)
• Analysis, Geometry, and Modeling in Finance
• Interest rate models -- theory and practice. With smile, inflation and credit
• Asymptotics of implied volatility in local volatility models
• Probability distribution in the SABR model of stochastic volatility
• Asymptotic implied volatility at the second order with application to the SABR model
• Option pricing with quadratic volatility: a revisit
• Exact pricing and large-time asymptotics for the modified SABR model and the Brownian exponential functional
• The large-maturity smile for the SABR and CEV-Heston models

Cited In (1)

• The heat-kernel most-likely-path approximation

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