The following pages link to Equivalent Black volatilities (Q4541572):
Displaying 36 items.
- Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
- Hermite polynomial based expansion of European option prices (Q469560) (← links)
- Expansions asymptotiques pour équations paraboliques dégénérées (Q479939) (← links)
- Carleman estimates for singular parabolic equations with interior degeneracy and non-smooth coefficients (Q509185) (← links)
- Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
- Option price decomposition in spot-dependent volatility models and some applications (Q1794087) (← links)
- The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model (Q2246618) (← links)
- The role of the leverage effect in the price discovery process of credit markets (Q2246685) (← links)
- A family of density expansions for Lévy-type processes (Q2258531) (← links)
- Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
- Asymptotics of Barrier Option Pricing Under the CEV Process (Q2786207) (← links)
- Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets (Q2922151) (← links)
- REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY (Q2939925) (← links)
- A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
- ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS (Q3502980) (← links)
- EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL (Q3580186) (← links)
- THE VARIANCE SWAP CONTRACT UNDER THE CEV PROCESS (Q3643591) (← links)
- Probability Distribution in the SABR Model of Stochastic Volatility (Q4560326) (← links)
- Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model (Q4560329) (← links)
- General Asymptotics of Wiener Functionals and Application to Implied Volatilities (Q4560330) (← links)
- New Approximations in Local Volatility Models (Q4561938) (← links)
- Negative Rates: New Market Practice (Q4626492) (← links)
- EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
- Asymptotics and calibration of local volatility models (Q4646770) (← links)
- CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES (Q4906512) (← links)
- Fractional stochastic volatility correction to CEV implied volatility (Q5014189) (← links)
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
- Asymptotics of Forward Implied Volatility (Q5250047) (← links)
- Analytical Expansions for Parabolic Equations (Q5264986) (← links)
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (Q5283408) (← links)
- Approximate Formulas for Zero‐coupon Bonds (Q5310695) (← links)
- LOCAL STOCHASTIC VOLATILITY WITH JUMPS: ANALYTICAL APPROXIMATIONS (Q5411747) (← links)
- Large-maturity regimes of the Heston forward smile (Q5965371) (← links)
- A martingale method for option pricing under a CEV-based fast-varying fractional stochastic volatility model (Q6080411) (← links)
- Controllability and observability for some forward stochastic complex degenerate/singular Ginzburg–Landau equations (Q6102332) (← links)
- Boundary Controllability for a Degenerate Wave Equation in Nondivergence Form with Drift (Q6173810) (← links)
