Local Volatility, Conditioned Diffusions, and Varadhan's Formula
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Publication:4579844
DOI10.1137/16M1092313zbMATH Open1410.91443OpenAlexW2810381742WikidataQ129649357 ScholiaQ129649357MaRDI QIDQ4579844FDOQ4579844
Authors: Stefano De Marco, Peter Friz 
Publication date: 10 August 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/16m1092313
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Cites Work
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Cited In (5)
- A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
- Local volatility under rough volatility
- Reconstructing volatility: Pricing of index options under rough volatility
- FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES
- Precise asymptotics: robust stochastic volatility models
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