Explicit implied volatilities for multifactor local-stochastic volatility models
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- Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2017. "Explicit Implied Volatilities For Multifactor Local-Stochastic Volatility Models," Mathematical Finance, Wiley Blackwell, vol. 27(3), pages 926-960, July.
References listed on IDEAS
- Jan Baldeaux & Alexander Badran, 2014.
"Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model,"
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Taylor & Francis Journals, vol. 21(4), pages 299-312, September.
- Jan Baldeaux & Alexander Badran, 2012. "Consistent Modeling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model," Papers 1203.5903, arXiv.org, revised Aug 2012.
- 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.
- Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "Pricing approximations and error estimates for local L\'evy-type models with default," Papers 1304.1849, arXiv.org, revised Nov 2014.
- Leif Andersen, 2011. "Option pricing with quadratic volatility: a revisit," Finance and Stochastics, Springer, vol. 15(2), pages 191-219, June.
- Pagliarani, Stefano & Pascucci, Andrea, 2011. "Analytical approximation of the transition density in a local volatility model," MPRA Paper 31107, University Library of Munich, Germany.
- Martin Forde & Antoine Jacquier, 2011. "Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(6), pages 517-535, April.
- Heston, Steven L, 1993. "A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 327-343.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Matthew Lorig, 2014. "Indifference prices and implied volatilities," Papers 1412.5520, arXiv.org, revised Sep 2015.
- Yasaman Karami & Kenichiro Shiraya, "undated". "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.
- repec:taf:quantf:v:16:y:2016:i:9:p:1341-1355 is not listed on IDEAS
- 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, 2016. "Optimal static quadratic hedging," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1341-1355, September.
- Ankush Agarwal & Ronnie Sircar, 2016. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Papers 1610.08558, arXiv.org.
- repec:wsi:ijfexx:v:04:y:2017:i:02n03:n:s2424786317500189 is not listed on IDEAS
- 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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