Forward implied volatility expansion in time-dependent local volatility models

DOI10.1051/PROC/201445009zbMath1401.91556OpenAlexW2140840123MaRDI QIDQ3465135

Julien Hok, Romain Bompis

Publication date: 29 January 2016

Published in: ESAIM: Proceedings and Surveys (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/proc/201445009

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

Option pricing with Legendre polynomials ⋮ EXPANSION FORMULAS FOR EUROPEAN QUANTO OPTIONS IN A LOCAL VOLATILITY FX-LIBOR MODEL ⋮ Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods

Cites Work

• Smart expansion and fast calibration for jump diffusions

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