Asymptotics of implied volatility in local volatility models
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Publication:4919611
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Cites work
- scientific article; zbMATH DE number 3077999 (Why is no real title available?)
- A general computation scheme for a high-order asymptotic expansion method
- Analysis, Geometry, and Modeling in Finance
- Computing the implied volatility in stochastic volatility models
- Option pricing with quadratic volatility: a revisit
- Some Properties of the Eigenfunctions of The Laplace-Operator on Riemannian Manifolds
Cited in
(88)- Asymptotic implied volatility at the second order with application to the SABR model
- Pricing step options under the CEV and other solvable diffusion models
- A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
- Effective asymptotics analysis for finance
- Small-time expansions for local jump-diffusion models with infinite jump activity
- The principle of not feeling the boundary for the SABR model
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- Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate
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- Reduced-order models for the implied variance under local volatility
- Asymptotic expansion for some local volatility models arising in finance
- Asymptotic approximations for pricing derivatives under mean-reverting processes
- Pricing discrete barrier options under stochastic volatility
- On the Skew and Curvature of the Implied and Local Volatilities
- Asymptotics of implied volatility to arbitrary order
- Third-order short-time expansions for close-to-the-money option prices under the CGMY model
- Option pricing in the moderate deviations regime
- Forward implied volatility expansion in time-dependent local volatility models
- Intrinsic expansions for averaged diffusion processes
- Asymptotics of Implied Volatility far from Maturity
- Options on bonds: implied volatilities from affine short-rate dynamics
- A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options
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- Robust and accurate reconstruction of the time-dependent continuous volatility from option prices
- The small and large time implied volatilities in the minimal market model
- An improved asymptotics of implied volatility in the gatheral model
- Computing the implied volatility in stochastic volatility models
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps
- Large-maturity regimes of the Heston forward smile
- Functional analytic (ir-)regularity properties of SABR-type processes
- Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model
- Numerical investigation of the implied volatility for European call and put options on forwards on power with spikes in the framework of the non-Markovian approach
- A recursive method for static replication of autocallable structured products
- A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition
- Short-time implied volatility in exponential Lévy models
- Extreme at-the-money skew in a local volatility model
- High-order short-time expansions for ATM option prices of exponential Lévy models
- Short-time at-the-money skew and rough fractional volatility
- Short-time asymptotic expansions of semilinear evolution equations
- Hermite polynomial based expansion of European option prices
- PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model
- Asymptotics and calibration of local volatility models
- Asymptotics of Forward Implied Volatility
- Local volatility under rough volatility
- Short Maturity Asian Options in Local Volatility Models
- Pricing and hedging vulnerable option with funding costs and collateral
- Reconstructing volatility: Pricing of index options under rough volatility
- Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
- Short maturity forward start Asian options in local volatility models
- A PDE method for estimation of implied volatility
- Indifference prices and implied volatilities
- Second order expansion for implied volatility in two factor local stochastic volatility models and applications to the dynamic \(\lambda\)-SABR model
- Explicit density approximations for local volatility models using heat kernel expansions
- On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
- Most-likely-path in Asian option pricing under local volatility models
- Short maturity conditional Asian options in local volatility models
- APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
- Small-Time Asymptotics of Option Prices and First Absolute Moments
- Asymptotic expansion approach in finance
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
- Approximation formulas for short-maturity near-the-money implied volatilities in the Heston and SABR models
- Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula
- Explicit implied volatilities for multifactor local-stochastic volatility models
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
- Implied volatility in strict local martingale models
- Approximate solutions to second-order parabolic equations: evolution systems and discretization
- On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions
- General smile asymptotics with bounded maturity
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus
- Static replication of barrier-type options via integral equations
- Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model
- Asymptotics beats Monte Carlo: the case of correlated local vol baskets
- General asymptotics of Wiener functionals and application to implied volatilities
- Note on an extension of an asymptotic expansion scheme
- Large deviations for non-Markovian diffusions and a path-dependent eikonal equation
- Asymptotics of the time-discretized log-normal SABR model: the implied volatility surface
- Implied Volatility from Local Volatility: A Path Integral Approach
- Marginal density expansions for diffusions and stochastic volatility. I: Theoretical foundations
- IMPLIED VOLATILITY IN THE HULL-WHITE MODEL
- Closed-form implied volatility surfaces for stochastic volatility models with jumps
- SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS
- Asymptotic expansion method for local volatility models
- The exact smile of certain local volatility models
- On approximation of implied volatility in local volatility models
- Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion
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