Explicit implied volatilities for multifactor local-stochastic volatility models
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References listed on IDEAS
- Jan Baldeaux & Alexander Badran, 2014.
"Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model,"
Applied Mathematical Finance,
Taylor & Francis Journals, vol. 21(4), pages 299-312, September.
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- Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 Plus Jumps Model," Research Paper Series 306, Quantitative Finance Research Centre, University of Technology, Sydney.
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- Matthew Lorig, 2014. "Indifference prices and implied volatilities," Papers 1412.5520, arXiv.org, revised Sep 2015.
- Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A Taylor series approach to pricing and implied vol for LSV models," Papers 1308.5019, arXiv.org.
- Matthew Lorig & Ronnie Sircar, 2015. "Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio," Papers 1506.06180, arXiv.org.
- 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.
- Ankush Agarwal & Ronnie Sircar, 2017. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Working Papers hal-01388399, HAL.
- Tim Leung & Matthew Lorig, 2015. "Optimal Static Quadratic Hedging," Papers 1506.02074, arXiv.org, revised Nov 2015.
- Ankush Agarwal & Ronnie Sircar, 2016. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Papers 1610.08558, arXiv.org.
- Akihiko Takahashi & Toshihiro Yamada, 2014. "This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More gene," CARF F-Series CARF-F-347, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Sep 2014.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-30 (All new papers)
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