The exact smile of certain local volatility models

DOI10.1080/14697688.2012.749357zbMath1281.91128arXiv1207.0750OpenAlexW2086163885MaRDI QIDQ5397427

Matthew Lorig

Publication date: 20 February 2014

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

Full work available at URL: https://arxiv.org/abs/1207.0750

zbMATH Keywords

option pricingstochastic differential equationsimplied volatilitieslocal volatility theory

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS ⋮ REDUCED-ORDER MODELS FOR THE IMPLIED VARIANCE UNDER LOCAL VOLATILITY ⋮ Computing the CEV option pricing formula using the semiclassical approximation of path integral ⋮ INDIFFERENCE PRICES AND IMPLIED VOLATILITIES ⋮ Analytical Expansions for Parabolic Equations

Cites Work

• A jump to default extended CEV model: an application of Bessel processes
• Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
• Pricing Options on Scalar Diffusions: An Eigenfunction Expansion Approach
• PRICING DERIVATIVES ON MULTISCALE DIFFUSIONS: AN EIGENFUNCTION EXPANSION APPROACH
• Stochastic differential equations. An introduction with applications.
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