Equivalent Black volatilities

From MaRDI portal
Publication:4541572

DOI10.1080/135048699334500zbMath1009.91033OpenAlexW2028094085MaRDI QIDQ4541572

Patrick S. Hagan, Diana E. Woodward

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/135048699334500



Related Items

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS, SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL, Approximate Formulas for Zero‐coupon Bonds, Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets, Probability Distribution in the SABR Model of Stochastic Volatility, Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model, General Asymptotics of Wiener Functionals and Application to Implied Volatilities, New Approximations in Local Volatility Models, Closed-form implied volatility surfaces for stochastic volatility models with jumps, REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY, ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS, A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model, Controllability and observability for some forward stochastic complex degenerate/singular Ginzburg–Landau equations, Boundary Controllability for a Degenerate Wave Equation in Nondivergence Form with Drift, Analytical approximation of the transition density in a local volatility model, Hermite polynomial based expansion of European option prices, Negative Rates: New Market Practice, Expansions asymptotiques pour équations paraboliques dégénérées, EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL, A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL, CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES, Carleman estimates for singular parabolic equations with interior degeneracy and non-smooth coefficients, Asymptotics and calibration of local volatility models, The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model, The role of the leverage effect in the price discovery process of credit markets, LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS, Smart expansion and fast calibration for jump diffusions, EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL, A family of density expansions for Lévy-type processes, Asymptotics of Barrier Option Pricing Under the CEV Process, Option price decomposition in spot-dependent volatility models and some applications, Large-maturity regimes of the Heston forward smile, THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS, Asymptotics of Forward Implied Volatility, Fractional stochastic volatility correction to CEV implied volatility, Analytical Expansions for Parabolic Equations



Cites Work