Pages that link to "Item:Q1871480"

The following pages link to Application of large deviation methods to the pricing of index options in finance. (Q1871480):

Displaying 18 items.

• Large deviations for some fast stochastic volatility models by viscosity methods (Q255794) (← links)
• Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
• Small-time asymptotics for fast mean-reverting stochastic volatility models (Q453246) (← links)
• Small time asymptotics for SPDEs with locally monotone coefficients (Q2026586) (← links)
• Short maturity conditional Asian options in local volatility models (Q2175467) (← links)
• Forward equations for option prices in semimartingale models (Q2516772) (← links)
• Sample path large deviations and optimal importance sampling for stochastic volatility models (Q2654160) (← links)
• Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (Q2922151) (← links)
• Computing the implied volatility in stochastic volatility models (Q3156847) (← links)
• Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332) (← links)
• On the Probability Density Function of Baskets (Q4560341) (← links)
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
• Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications (Q5746487) (← links)
• Tail behavior of sums and differences of log-normal random variables (Q5963508) (← links)
• In memoriam: Marco Avellaneda (1955–2022) (Q6054441) (← links)
• Reconstructing volatility: Pricing of index options under rough volatility (Q6054443) (← links)
• A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (Q6106934) (← links)
• A partial rough path space for rough volatility (Q6126968) (← links)