New approximations in local volatility models
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References listed on IDEAS
- Eric Benhamou & Emmanuel Gobet & Mohammed Miri, 2010. "Expansion formulas for European options in a local volatility model," Post-Print hal-00325939, HAL.
- Roger W. Lee, 2004. "The Moment Formula For Implied Volatility At Extreme Strikes," Mathematical Finance, Wiley Blackwell, vol. 14(3), pages 469-480.
- Vladimir Piterbarg, 2005. "Stochastic Volatility Model with Time-dependent Skew," Applied Mathematical Finance, Taylor & Francis Journals, vol. 12(2), pages 147-185.
- Schroder, Mark Douglas, 1989. " Computing the Constant Elasticity of Variance Option Pricing Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 211-219, March.
- E. Benhamou & E. Gobet & M. Miri, 2009. "Smart expansion and fast calibration for jump diffusions," Finance and Stochastics, Springer, vol. 13(4), pages 563-589, September.
- Eric Benhamou & Emmanuel Gobet & Mohammed Miri, 2009. "Smart expansion and fast calibration for jump diffusion," Post-Print hal-00200395, HAL.
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