The heat-kernel most-likely-path approximation

DOI10.1142/S021902491250001XMaRDI QIDQ5389097zbMATH OpenOpenAlexFDO

Authors Jim Gatheral, Tai-Ho Wang

Publication date 24 April 2012

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s021902491250001x

zbMATH Keywords

asymptotic expansionheat kernel expansionimplied volatilitylocal volatility modelmost-likely-path

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• Closed-form asymptotics and numerical approximations of 1D parabolic equations with applications to option pricing
• scientific article; zbMATH DE number 3512673 (Why is no real title available?)

Cited in

(14)

• Asymptotics beats Monte Carlo: the case of correlated local vol baskets
• Reduced-order models for the implied variance under local volatility
• Short Maturity Asian Options in Local Volatility Models
• Functional analytic (ir-)regularity properties of SABR-type processes
• A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model
• Implied Volatility from Local Volatility: A Path Integral Approach
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula
• Most-likely-path in Asian option pricing under local volatility models
• Small-time asymptotics in geometric Asian options for a stochastic volatility jump-diffusion model
• The Nature of Most Probable Paths at Finite Temperatures
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• Short maturity forward start Asian options in local volatility models
• APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH
• Approximate solutions to second-order parabolic equations: evolution systems and discretization

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