THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION

DOI10.1142/S021902491250001XzbMath1236.91147OpenAlexW3122359126MaRDI QIDQ5389097

Jim Gatheral, Tai-Ho Wang

Publication date: 24 April 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902491250001x

zbMATH Keywords

asymptotic expansionheat kernel expansionimplied volatilitylocal volatility modelmost-likely-path

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (14)

SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets ⋮ Implied Volatility from Local Volatility: A Path Integral Approach ⋮ REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY ⋮ Local Volatility, Conditioned Diffusions, and Varadhan's Formula ⋮ MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ Approximate solutions to second-order parabolic equations: evolution systems and discretization ⋮ APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH ⋮ Analytical approximation of the transition density in a local volatility model ⋮ FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES ⋮ SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL ⋮ A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL ⋮ Short Maturity Forward Start Asian Options in Local Volatility Models

Cites Work

• Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing
• Unnamed Item

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