Pages that link to "Item:Q4919611"

The following pages link to ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (Q4919611):

Displaying 50 items.

• Large deviations for non-Markovian diffusions and a path-dependent Eikonal equation (Q330697) (← links)
• Explicit density approximations for local volatility models using heat kernel expansions (Q340130) (← links)
• Small-time expansions for local jump-diffusion models with infinite jump activity (Q395997) (← links)
• Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps (Q424503) (← links)
• Analytical approximation of the transition density in a local volatility model (Q432231) (← links)
• Hermite polynomial based expansion of European option prices (Q469560) (← links)
• Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554) (← links)
• Pricing and hedging vulnerable option with funding costs and collateral (Q1663930) (← links)
• Pricing discrete barrier options under stochastic volatility (Q1929151) (← links)
• Recovery of local volatility for financial assets with mean-reverting price processes (Q2001544) (← links)
• PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model (Q2045957) (← links)
• Asymptotic expansion for a Black-Scholes model with small noise stochastic jump-diffusion interest rate (Q2107407) (← links)
• Short maturity conditional Asian options in local volatility models (Q2175467) (← links)
• Extreme at-the-money skew in a local volatility model (Q2274223) (← links)
• Asymptotic expansion for some local volatility models arising in finance (Q2292052) (← links)
• Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
• Closed-form implied volatility surfaces for stochastic volatility models with jumps (Q2658792) (← links)
• A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition (Q2674299) (← links)
• Short-time asymptotic expansions of semilinear evolution equations (Q2799613) (← links)
• ASYMPTOTIC APPROXIMATIONS FOR PRICING DERIVATIVES UNDER MEAN-REVERTING PROCESSES (Q2816960) (← links)
• General Smile Asymptotics with Bounded Maturity (Q2832614) (← links)
• PRICING STEP OPTIONS UNDER THE CEV AND OTHER SOLVABLE DIFFUSION MODELS (Q2853376) (← links)
• NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME (Q2853382) (← 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)
• Short Maturity Asian Options in Local Volatility Models (Q2953946) (← links)
• Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion (Q2962132) (← links)
• FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES (Q2986668) (← links)
• Small-Time Asymptotics of Option Prices and First Absolute Moments (Q3108470) (← links)
• A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
• On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model (Q3449446) (← links)
• Short-time at-the-money skew and rough fractional volatility (Q4555069) (← links)
• Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model (Q4560329) (← links)
• Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332) (← links)
• Implied Volatility from Local Volatility: A Path Integral Approach (Q4560334) (← links)
• Asymptotic Expansion Approach in Finance (Q4560338) (← links)
• On Small Time Asymptotics for Rough Differential Equations Driven by Fractional Brownian Motions (Q4560339) (← links)
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
• Option pricing in the moderate deviations regime (Q4581294) (← links)
• MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS (Q4584697) (← links)
• SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (Q4631699) (← links)
• INDIFFERENCE PRICES AND IMPLIED VOLATILITIES (Q4635045) (← links)
• Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (Q4635252) (← links)
• THE SMALL AND LARGE TIME IMPLIED VOLATILITIES IN THE MINIMAL MARKET MODEL (Q4909142) (← links)
• A PDE method for estimation of implied volatility (Q4991029) (← links)
• Static replication of barrier-type options via integral equations (Q4991074) (← links)
• A compact difference scheme for time-fractional Black-Scholes equation with time-dependent parameters under the CEV model: American options (Q5025469) (← links)
• ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE (Q5051949) (← links)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
• EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE (Q5114683) (← links)