Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
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Cites work
- scientific article; zbMATH DE number 410740 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 1414609 (Why is no real title available?)
- Analysis, Geometry, and Modeling in Finance
- Computing the implied volatility in stochastic volatility models
- Exponential functionals of Brownian motion. I: Probability laws at fixed time
- Nonparametric estimation for stochastic volatility models
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
- Sample path large deviations and optimal importance sampling for stochastic volatility models
- Some Properties of the Eigenfunctions of The Laplace-Operator on Riemannian Manifolds
Cited in
(24)- Effective asymptotics analysis for finance
- Small-time expansions for local jump-diffusion models with infinite jump activity
- Option pricing in the moderate deviations regime
- The small and large time implied volatilities in the minimal market model
- On the curvature of the smile 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
- The Heston Riemannian distance function
- Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model
- Small time asymptotics for SPDEs with locally monotone coefficients
- The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications
- Short-time implied volatility in exponential Lévy models
- High-order short-time expansions for ATM option prices of exponential Lévy models
- Short-time at-the-money skew and rough fractional volatility
- Small-noise limit of the quasi-Gaussian log-normal HJM model
- Short Maturity Asian Options in Local Volatility Models
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES
- Short-maturity options on realized variance in local-stochastic volatility models
- Explicit implied volatilities for multifactor local-stochastic volatility models
- Small-time asymptotics for Gaussian self-similar stochastic volatility models
- Asian options for local-stochastic volatility models in the short-maturity regime
- Small‐time, large‐time, and asymptotics for the Rough Heston model
- SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS
- Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion
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