Implied Volatility from Local Volatility: A Path Integral Approach

DOI10.1007/978-3-319-11605-1_9zbMath1418.91547OpenAlexW2103460965MaRDI QIDQ4560334

Jim Gatheral, Tai-Ho Wang

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_9

zbMATH Keywords

path integralimplied volatilitylocal volatility modelmost likely pathheat kernels expansionsmall time asymptotic expansion

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) Measure (Gaussian, cylindrical, etc.) and integrals (Feynman, path, Fresnel, etc.) on manifolds (46T12) Heat kernel (35K08)

Related Items (4)

MOST-LIKELY-PATH IN ASIAN OPTION PRICING UNDER LOCAL VOLATILITY MODELS ⋮ A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus ⋮ Bridge representation and modal-path approximation ⋮ Bessel bridge representation for the heat kernel in hyperbolic space

Cites Work

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• ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
• Closed-Form Asymptotics and Numerical Approximations of 1D Parabolic Equations with Applications to Option Pricing
• Asymptotic Approximations to Deterministic and Stochastic Volatility Models
• THE HEAT-KERNEL MOST-LIKELY-PATH APPROXIMATION

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