Pages that link to "Item:Q4646770"
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The following pages link to Asymptotics and calibration of local volatility models (Q4646770):
Displaying 49 items.
- Explicit density approximations for local volatility models using heat kernel expansions (Q340130) (← 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)
- Modeling and implementation of local volatility surfaces in Bayesian framework (Q1616807) (← links)
- How should a local regime-switching model be calibrated? (Q1655569) (← links)
- Estimation of local volatilities in a generalized Black-Scholes model (Q1765852) (← links)
- Application of large deviation methods to the pricing of index options in finance. (Q1871480) (← links)
- Recovery of local volatility for financial assets with mean-reverting price processes (Q2001544) (← links)
- Numerical techniques for determining implied volatility in option pricing (Q2104087) (← links)
- A rough SABR formula (Q2170291) (← links)
- Short maturity conditional Asian options in local volatility models (Q2175467) (← links)
- The calibration of stochastic local-volatility models: an inverse problem perspective (Q2204027) (← links)
- Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps (Q2246642) (← 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)
- Recovery of time dependent volatility coefficient by linearization (Q2438347) (← links)
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options (Q2498794) (← links)
- Forward equations for option prices in semimartingale models (Q2516772) (← links)
- Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model (Q2889603) (← 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)
- A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL (Q3304204) (← links)
- SMILE MODELING IN COMMODITY MARKETS (Q3304207) (← links)
- A Local Linear Least-Absolute-Deviations Estimator of Volatility (Q3543700) (← links)
- Asymptotic Implied Volatility at the Second Order with Application to the SABR Model (Q4560327) (← links)
- Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$-Sabr Model (Q4560329) (← links)
- Implied Volatility of Basket Options at Extreme Strikes (Q4560331) (← links)
- Implied Volatility from Local Volatility: A Path Integral Approach (Q4560334) (← links)
- Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844) (← links)
- Option pricing in the moderate deviations regime (Q4581294) (← links)
- Delta-hedging vega risk? (Q4610265) (← links)
- SMALL-TIME ASYMPTOTICS IN GEOMETRIC ASIAN OPTIONS FOR A STOCHASTIC VOLATILITY JUMP-DIFFUSION MODEL (Q4631699) (← links)
- EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL (Q4634643) (← links)
- Calibration of the local volatility in a trinomial tree using Tikhonov regularization (Q4807847) (← links)
- On the Harmonic Mean Representation of the Implied Volatility (Q4988554) (← links)
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL (Q5056615) (← links)
- EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE (Q5114683) (← links)
- Short Maturity Forward Start Asian Options in Local Volatility Models (Q5241901) (← links)
- Local volatility function models under a benchmark approach (Q5484644) (← links)
- MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES (Q6095476) (← links)
- Approximate solutions to second-order parabolic equations: evolution systems and discretization (Q6105353) (← links)
- On asymptotically arbitrage-free approximations of the implied volatility (Q6105370) (← links)
- A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus (Q6106934) (← links)
- SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS (Q6119776) (← links)
- A partial rough path space for rough volatility (Q6126968) (← links)
- Local volatility under rough volatility (Q6187367) (← links)
- Monotonicity of implied volatility for perpetual put options (Q6198979) (← links)
- Physics-informed convolutional transformer for predicting volatility surface (Q6546314) (← links)
