Pages that link to "Item:Q309158"
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The following pages link to Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration (Q309158):
Displayed 19 items.
- Pricing turbo warrants under stochastic elasticity of variance (Q508292) (← links)
- Stochastic elasticity of variance with stochastic interest rates (Q892883) (← links)
- A scaled version of the double-mean-reverting model for VIX derivatives (Q1670389) (← links)
- Stochastic elasticity of vol-of-vol and pricing of variance swaps (Q1998119) (← links)
- Pricing of the geometric Asian options under a multifactor stochastic volatility model (Q2074887) (← links)
- Parameter identification for portfolio optimization with a slow stochastic factor (Q2101109) (← links)
- Robust Numerical Calibration for Implied Volatility Expansion Models (Q2953945) (← links)
- SECOND-ORDER STOCHASTIC VOLATILITY ASYMPTOTICS AND THE PRICING OF FOREIGN EXCHANGE DERIVATIVES (Q3304210) (← links)
- Heston stochastic vol-of-vol model for joint calibration of VIX and S&P 500 options (Q4554477) (← links)
- FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT (Q4565075) (← links)
- Partial Differential Equation Pricing of Contingent Claims under Stochastic Correlation (Q4600012) (← links)
- Optimal Investment with Transaction Costs and Stochastic Volatility Part II: Finite Horizon (Q4614937) (← links)
- Analytical and numerical studies on the second-order asymptotic expansion method for European option pricing under two-factor stochastic volatilities (Q4634821) (← links)
- A closed-form approximation formula for pricing European options under a three-factor model (Q5051203) (← links)
- ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE (Q5051949) (← links)
- PRICING TIMER OPTIONS: SECOND-ORDER MULTISCALE STOCHASTIC VOLATILITY ASYMPTOTICS (Q5158756) (← links)
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
- Bilateral XVA pricing under stochastic default intensity: PDE modelling and computation (Q6101754) (← links)
- (Q6168686) (← links)