Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model

DOI10.1080/1350486X.2011.591159zbMath1246.91129MaRDI QIDQ2889603

Martin Forde, Antoine Jacquier

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

stochastic volatilityimplied volatilitysmall time asymptotics

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (18)

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL ⋮ Short-time at-the-money skew and rough fractional volatility ⋮ Option pricing in the moderate deviations regime ⋮ Small-time expansions for local jump-diffusion models with infinite jump activity ⋮ Short Maturity Asian Options in Local Volatility Models ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES ⋮ SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS ⋮ Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion ⋮ Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps ⋮ EFFECTIVE ASYMPTOTICS ANALYSIS FOR FINANCE ⋮ The Heston Riemannian distance function ⋮ HIGH‐ORDER SHORT‐TIME EXPANSIONS FOR ATM OPTION PRICES OF EXPONENTIAL LÉVY MODELS ⋮ Small time asymptotics for SPDEs with locally monotone coefficients ⋮ The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models ⋮ SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS

Cites Work

• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Sample path large deviations and optimal importance sampling for stochastic volatility models
• Computing the implied volatility in stochastic volatility models
• Analysis, Geometry, and Modeling in Finance
• SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
• Some Properties of the Eigenfunctions of The Laplace-Operator on Riemannian Manifolds
• Nonparametric estimation for stochastic volatility models
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