Extrapolation Analytics for Dupire’s Local Volatility
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Publication:4560335
DOI10.1007/978-3-319-11605-1_10zbMath1418.91511OpenAlexW950903826MaRDI QIDQ4560335
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_10
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Related Items (4)
Local Volatility, Conditioned Diffusions, and Varadhan's Formula ⋮ Option pricing in the moderate deviations regime ⋮ Asymptotics of some generalized Mathieu series ⋮ Difference Equation Theory Meets Mathematical Finance
Uses Software
Cites Work
- Marking in combinatorial constructions: Generating functions and limiting distributions
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
- Singularity Analysis of Generating Functions
- From local volatility to local Lévy models
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- The Variance Gamma Process and Option Pricing
- How to make Dupire’s local volatility work with jumps
- Convergence of Heston to SVI
- On refined volatility smile expansion in the Heston model
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