Pages that link to "Item:Q3580186"
From MaRDI portal
The following pages link to EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL (Q3580186):
Displaying 18 items.
- Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
- Expansions asymptotiques pour équations paraboliques dégénérées (Q479939) (← links)
- Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
- A decomposition formula for option prices in the Heston model and applications to option pricing approximation (Q1761451) (← links)
- \(L_1\) and \(L_{\infty}\) stability of transition densities of perturbed diffusions (Q2066937) (← links)
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms (Q2246590) (← links)
- Weak approximation of averaged diffusion processes (Q2434489) (← links)
- Analytical formulas for a local volatility model with stochastic rates (Q2893202) (← links)
- On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
- New Approximations in Local Volatility Models (Q4561938) (← links)
- EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
- EXPANSION FORMULAS FOR BIVARIATE PAYOFFS WITH APPLICATION TO BEST-OF OPTIONS ON EQUITY AND INFLATION (Q4979883) (← links)
- Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models (Q5244869) (← links)
- Analytical Expansions for Parabolic Equations (Q5264986) (← links)
- Stability of Densities for Perturbed Diffusions and Markov Chains (Q5350278) (← links)
- ANALYTIC PRICING OF CoCo BONDS (Q5357518) (← links)
- LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
- The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew (Q5872885) (← links)
