INDIFFERENCE PRICES AND IMPLIED VOLATILITIES

DOI10.1111/mafi.12129zbMath1403.91347arXiv1412.5520OpenAlexW1420861287MaRDI QIDQ4635045

Matthew Lorig

Publication date: 13 April 2018

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

Full work available at URL: https://arxiv.org/abs/1412.5520

zbMATH Keywords

implied volatilityindifference pricingHestonlocal-stochastic volatilityPDE asymptotics

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Asymptotic expansions of solutions to PDEs (35C20)

Related Items (7)

Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations and Implied Sharpe Ratio ⋮ Indifference pricing of credit default swaps in a multi-period model ⋮ Analytical approximation of the transition density in a local volatility model ⋮ The implied Sharpe ratio ⋮ OPTIMAL LIQUIDATION UNDER STOCHASTIC PRICE IMPACT ⋮ Indifference pricing of insurance-linked securities in a multi-period model ⋮ Bond indifference prices

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