On the Implied Volatility of Asian Options Under Stochastic Volatility Models
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Publication:6569105
DOI10.1080/1350486X.2024.2346478zbMATH Open1545.91303MaRDI QIDQ6569105
Elisa Alòs, E. Nualart, [[Person:6092914|Author name not available (Why is that?)]]
Publication date: 8 July 2024
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07)
Cites Work
- Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach
- A note on the implied volatility of floating strike Asian options
- Robust Approximations for Pricing Asian Options and Volatility Swaps Under Stochastic Volatility
- Short Maturity Asian Options in Local Volatility Models
- Pricing Asian options with stochastic volatility
- Introduction to Malliavin Calculus
- On Smile Properties of Volatility Derivatives: Understanding the VIX Skew
- SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
- Malliavin Calculus in Finance
- On the Curvature of the Smile in Stochastic Volatility Models
- IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS
- SUBLEADING CORRECTION TO THE ASIAN OPTIONS VOLATILITY IN THE BLACK–SCHOLES MODEL
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