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Explicit Implied Volatilities For Multifactor Local-Stochastic Volatility Models

Citations

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Cited by:

  1. Jaehyuk Choi & Byoung Ki Seo, 2023. "Option pricing under the normal SABR model with Gaussian quadratures," Papers 2301.02797, arXiv.org.
  2. Stefano Pagliarani & Andrea Pascucci, 2017. "The exact Taylor formula of the implied volatility," Finance and Stochastics, Springer, vol. 21(3), pages 661-718, July.
  3. Jaehyuk Choi & Chenru Liu & Byoung Ki Seo, 2019. "Hyperbolic normal stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(2), pages 186-204, February.
  4. Matthew Lorig, 2014. "Indifference prices and implied volatilities," Papers 1412.5520, arXiv.org, revised Sep 2015.
  5. Jean-Pierre Fouque & Matthew Lorig & Ronnie Sircar, 2016. "Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration," Finance and Stochastics, Springer, vol. 20(3), pages 543-588, July.
  6. Weston Barger & Matthew Lorig, 2016. "Approximate pricing of European and Barrier claims in a local-stochastic volatility setting," Papers 1610.05728, arXiv.org, revised Apr 2017.
  7. Recchioni, Maria Cristina & Iori, Giulia & Tedeschi, Gabriele & Ouellette, Michelle S., 2021. "The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications," European Journal of Operational Research, Elsevier, vol. 293(1), pages 336-360.
  8. Choi, Jaehyuk & Wu, Lixin, 2021. "The equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) model," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
  9. Filippo de Feo, 2020. "The Averaging Principle for Non-autonomous Slow-fast Stochastic Differential Equations and an Application to a Local Stochastic Volatility Model," Papers 2012.09082, arXiv.org, revised Jan 2021.
  10. Ankush Agarwal & Ronnie Sircar, 2017. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Working Papers hal-01388399, HAL.
  11. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2022. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Working Papers hal-03715921, HAL.
  12. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
  13. Mnacho Echenim & Emmanuel Gobet & Anne-Claire Maurice, 2022. "Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes," Papers 2207.02989, arXiv.org.
  14. Kaustav Das & Nicolas Langren'e, 2018. "Closed-form approximations with respect to the mixing solution for option pricing under stochastic volatility," Papers 1812.07803, arXiv.org, revised Oct 2021.
  15. Ankush Agarwal & Matthew Lorig, 2019. "The implied Sharpe ratio," Papers 1908.04837, arXiv.org.
  16. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A Taylor series approach to pricing and implied vol for LSV models," Papers 1308.5019, arXiv.org.
  17. Weston Barger & Matthew Lorig, 2017. "Approximate pricing of European and Barrier claims in a local-stochastic volatility setting," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 4(02n03), pages 1-31, June.
  18. Olesya Grishchenko & Xiao Han & Victor Nistor, 2018. "A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model," Papers 1812.09904, arXiv.org.
  19. Yasaman Karami & Kenichiro Shiraya, 2018. "An approximation formula for normal implied volatility under general local stochastic volatility models," CARF F-Series CARF-F-427, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  20. Andrea Barletta & Elisa Nicolato & Stefano Pagliarani, 2019. "The short‐time behavior of VIX‐implied volatilities in a multifactor stochastic volatility framework," Mathematical Finance, Wiley Blackwell, vol. 29(3), pages 928-966, July.
  21. Wan, Xiangwei & Yang, Nian, 2021. "Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps," Journal of Economic Dynamics and Control, Elsevier, vol. 125(C).
  22. Matthew Lorig & Natchanon Suaysom, 2022. "Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models," Papers 2212.04425, arXiv.org.
  23. Akihiko Takahashi & Toshihiro Yamada, 2014. "On Error Estimates for Asymptotic Expansions with Malliavin Weights -Application to Stochastic Volatility Model- (Revised version of CARF-F-324; Forthcoming in "Mathematics of Operations Research," CARF F-Series CARF-F-347, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2014.
  24. Matthew Lorig & Ronnie Sircar, 2015. "Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio," Papers 1506.06180, arXiv.org.
  25. Matthew Lorig & Natchanon Suaysom, 2022. "Options on bonds: implied volatilities from affine short-rate dynamics," Annals of Finance, Springer, vol. 18(2), pages 183-216, June.
  26. Tim Leung & Matthew Lorig, 2016. "Optimal static quadratic hedging," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1341-1355, September.
  27. Ankush Agarwal & Ronnie Sircar, 2016. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Papers 1610.08558, arXiv.org.
  28. Matthew Lorig & Natchanon Suaysom, 2021. "Options on Bonds: Implied Volatilities from Affine Short-Rate Dynamics," Papers 2106.04518, arXiv.org.
  29. Akihiko Takahashi & Toshihiro Yamada, 2015. "On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 513-541, March.
  30. Daniel Guterding, 2020. "Inventory effects on the price dynamics of VSTOXX futures quantified via machine learning," Papers 2002.08207, arXiv.org.
  31. Yasaman Karami & Kenichiro Shiraya, 2018. "An approximation formula for normal implied volatility under general local stochastic volatility models," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(9), pages 1043-1061, September.
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