Pages that link to "Item:Q3563687"

The following pages link to Short-Maturity Asymptotics for a Fast Mean-Reverting Heston Stochastic Volatility Model (Q3563687):

Displaying 36 items.

• Large deviations for some fast stochastic volatility models by viscosity methods (Q255794) (← links)
• Maximum likelihood estimation for small noise multiscale diffusions (Q376710) (← links)
• Small-time expansions for local jump-diffusion models with infinite jump activity (Q395997) (← links)
• Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\) (Q402407) (← links)
• Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503) (← links)
• Small-time asymptotics for fast mean-reverting stochastic volatility models (Q453246) (← links)
• The large-maturity smile for the Heston model (Q484212) (← links)
• Distance to the line in the Heston model (Q511233) (← links)
• Large deviations for multi-scale jump-diffusion processes (Q516019) (← links)
• Large deviations of realized volatility (Q665439) (← links)
• Statistical inference for perturbed multiscale dynamical systems (Q730344) (← links)
• Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
• Controlled equilibrium selection in stochastically perturbed dynamics (Q1800819) (← links)
• Large deviations for interacting multiscale particle systems (Q2105066) (← links)
• Short maturity conditional Asian options in local volatility models (Q2175467) (← links)
• Estimation of the realized (co-)volatility vector: large deviations approach (Q2402430) (← links)
• Small time central limit theorems for semimartingales with applications (Q2804007) (← links)
• Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
• Small-Time Asymptotics of Option Prices and First Absolute Moments (Q3108470) (← links)
• Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model (Q4560329) (← links)
• On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions (Q4560339) (← links)
• Discrete-Time Statistical Inference for Multiscale Diffusions (Q4627436) (← links)
• SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (Q4631699) (← links)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
• Mixing LSMC and PDE Methods to Price Bermudan Options (Q5112723) (← links)
• Discrete-Time Inference for Slow-Fast Systems Driven by Fractional Brownian Motion (Q5157689) (← links)
• Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options (Q5233177) (← links)
• FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES (Q5247426) (← links)
• Importance Sampling Estimation of Joint Default Probability under Structural-Form Models with Stochastic Correlation (Q5326120) (← links)
• HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS (Q5739188) (← links)
• Small noise asymptotics of multi-scale McKean-Vlasov stochastic dynamical systems (Q6041820) (← links)
• Optimal investment with correlated stochastic volatility factors (Q6054456) (← links)
• MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
• Averaging principle for two time-scale regime-switching processes (Q6126951) (← links)
• Reconciling rough volatility with jumps (Q6623042) (← links)
• Approximation formulas for short-maturity near-the-money implied volatilities in the Heston and SABR models (Q6647962) (← links)