scientific article; zbMATH DE number 6521211
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Publication:3457552
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- scientific article; zbMATH DE number 2065158
- STOCHASTIC VOLATILITY
- Stochastic volatility duration models
- Stochastic Volatility Models and Option Prices
- Probabilistic Properties of Stochastic Volatility Models
- Stochastic volatility models with application in option pricing
- Stochastic volatility models and the pricing of VIX options
Cited in
(42)- Asymptotics for volatility derivatives in multi-factor rough volatility models
- Option pricing in illiquid markets: a fractional jump-diffusion approach
- News impact curve for stochastic volatility models
- Random coefficient volatility models
- Simple factor realized stochastic volatility models
- Stochastic volatility models including open, close, high and low prices
- Complete–market models of stochastic volatility
- Statistics of VIX futures and applications to trading volatility exchange-traded products
- Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps
- MEAN-REVERTING STOCHASTIC VOLATILITY
- Stochastic Volatility Estimation Using Markov Chain Simulation
- Probabilistic Properties of Stochastic Volatility Models
- Complete Models with Stochastic Volatility
- MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
- Complications with stochastic volatility models
- Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa's pricing formula
- Turbocharging Monte Carlo pricing for the rough Bergomi model
- On the harmonic mean representation of the implied volatility
- Inversion of convex ordering in the VIX market
- VIX versus VXX: a joint analytical framework
- Log-Modulated Rough Stochastic Volatility Models
- Stochastic Volatility Model with Time‐dependent Skew
- Modelling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps
- A Stochastic Volatility Alternative to SABR
- Stochastic volatility demand systems
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
- Volatility is (mostly) path-dependent
- The Alpha‐Heston stochastic volatility model
- Reconstructing volatility: Pricing of index options under rough volatility
- Pricing autocallables under local-stochastic volatility
- Dispersion-constrained martingale Schrödinger problems and the exact joint S\&P 500/VIX smile calibration puzzle
- Bayesian parameter inference for partially observed stochastic volterra equations
- Occupied processes: going with the flow
- A time-stepping deep gradient flow method for option pricing in (rough) diffusion models
- Short-maturity options on realized variance in local-stochastic volatility models
- Dispersion-constrained martingale Schrödinger bridges: joint entropic calibration of stochastic volatility models to S\&P 500 and VIX smiles
- DG framework for pricing European options under one-factor stochastic volatility models
- A semiparametric stochastic volatility model
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
- Volatility, risk modeling and utility
- The Black-Scholes equation in stochastic volatility models
- Stochastic volatility and DSGE models
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