Local Volatility, Conditioned Diffusions, and Varadhan's Formula
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Publication:4579844
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Cites work
- scientific article; zbMATH DE number 3907496 (Why is no real title available?)
- scientific article; zbMATH DE number 43057 (Why is no real title available?)
- scientific article; zbMATH DE number 503486 (Why is no real title available?)
- scientific article; zbMATH DE number 1005873 (Why is no real title available?)
- A closed-form solution for options with stochastic volatility with applications to bond and currency options
- A remark on the asymptotic expansion of density function of Wiener functionals
- Analytically tractable stochastic stock price models.
- Application of large deviation methods to the pricing of index options in finance.
- Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
- Asymptotics of implied volatility in local volatility models
- Computing the implied volatility in stochastic volatility models
- Continuity of optimal control costs and its application to weak KAM theory
- DIFFUSION PROCESSES AND RIEMANNIAN GEOMETRY
- Diffusion processes in a small time interval
- Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus
- Exponential decay of the heat kernel over the diagonal. II
- Extrapolation analytics for Dupire's local volatility
- General Freidlin-Wentzell large deviations and positive diffusions
- Intégration dans la fibre associée a une diffusion dégénérée. (Integration in a fiber associated to a degenerated diffusion)
- Large deviations and the Malliavin calculus
- Majoration en temps petit de la densité d'une diffusion dégénérée
- Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations
- Marginal density expansions for diffusions and stochastic volatility. II: Applications
- Mimicking the one-dimensional marginal distributions of processes having an Ito differential
- Minoration en temps petit de la densité d'une diffusion dégénérée. (Lower estimate for small times of the density of a degenerate diffusion)
- Moment explosions and long-term behavior of affine stochastic volatility models
- On refined volatility smile expansion in the Heston model
- On the probability density function of baskets
- Semiconcavity results for optimal control problems admitting no singular minimizing controls
- Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
- Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension
- Stock price distributions with stochastic volatility: an analytic approach
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- The Malliavin Calculus and Related Topics
- The heat-kernel most-likely-path approximation
Cited in
(7)- Reconstructing volatility: Pricing of index options under rough volatility
- Precise asymptotics: robust stochastic volatility models
- Functional analytic (ir-)regularity properties of SABR-type processes
- Extrapolation analytics for Dupire's local volatility
- A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
- Local volatility under rough volatility
- An infinite dimensional stochastic analysis approach to local volatility dynamic models
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