Option pricing in the moderate deviations regime
From MaRDI portal
Publication:4581294
DOI10.1111/mafi.12156zbMath1411.91554arXiv1604.01281OpenAlexW3124836978WikidataQ55634326 ScholiaQ55634326MaRDI QIDQ4581294
Stefan Gerhold, Peter K. Friz, Arpad Pinter
Publication date: 16 August 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.01281
Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (12)
Large and moderate deviations for stochastic Volterra systems ⋮ Short-dated smile under rough volatility: asymptotics and numerics ⋮ Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions ⋮ Small‐time, large‐time, and asymptotics for the Rough Heston model ⋮ Small-time moderate deviations for the randomised Heston model ⋮ Precise asymptotics: robust stochastic volatility models ⋮ The Randomized Heston Model ⋮ Moderate deviations for Euler-Maruyama approximation of Hull-White stochastic volatility model ⋮ Short-Term At-the-Money Asymptotics under Stochastic Volatility Models ⋮ Short-time near-the-money skew in rough fractional volatility models ⋮ Volatility has to be rough ⋮ The VIX Future in Bergomi Models: Fast Approximation Formulas and Joint Calibration with S&P 500 Skew
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Mimicking an Itō process by a solution of a stochastic differential equation
- Analytical approximation of the transition density in a local volatility model
- Asymptotics of implied volatility to arbitrary order
- Averaging principle of SDE with small diffusion: Moderate deviations
- Central limit theorem and moderate deviation principle for CKLS model with small random perturbation
- Forward equations for option prices in semimartingale models
- A NEW LOOK AT SHORT-TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS
- Asymptotic behaviors for functionals of random dynamical systems
- General Smile Asymptotics with Bounded Maturity
- Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model
- Uniform Bounds for Black--Scholes Implied Volatility
- Asymptotics for Rough Stochastic Volatility Models
- MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS
- Small-Time Asymptotics of Option Prices and First Absolute Moments
- Computing the implied volatility in stochastic volatility models
- Analysis, Geometry, and Modeling in Finance
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL
- Diffusion processes in a small time interval
- Asymptotic Behavior of the Fractional Heston Model
- Asymptotic Implied Volatility at the Second Order with Application to the SABR Model
- General Asymptotics of Wiener Functionals and Application to Implied Volatilities
- Extrapolation Analytics for Dupire’s Local Volatility
- The Gärtner-Ellis Theorem, Homogenization, and Affine Processes
- Asymptotics and calibration of local volatility models
- The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model
- ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
- Moderate deviations for sums of dependent claims in a size-dependent renewal risk model
- How to make Dupire’s local volatility work with jumps
- Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations
- Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications
- Nonparametric estimation for stochastic volatility models
This page was built for publication: Option pricing in the moderate deviations regime
