Smart expansion and fast calibration for jump diffusion

Citations

Cited by:

1. Elisa Alòs, 2012. "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Finance and Stochastics, Springer, vol. 16(3), pages 403-422, July.
2. Pierre Etoré & Emmanuel Gobet, 2012. "Stochastic expansion for the pricing of call options with discrete dividends," Post-Print hal-00507787, HAL.
3. Ning Cai & Chenxu Li & Chao Shi, 2014. "Closed-Form Expansions of Discretely Monitored Asian Options in Diffusion Models," Mathematics of Operations Research, INFORMS, vol. 39(3), pages 789-822, August.
4. Cai, Ning & Li, Chenxu & Shi, Chao, 2021. "Pricing discretely monitored barrier options: When Malliavin calculus expansions meet Hilbert transforms," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
5. Jacquier, Antoine & Roome, Patrick, 2016. "Large-maturity regimes of the Heston forward smile," Stochastic Processes and their Applications, Elsevier, vol. 126(4), pages 1087-1123.
   • Antoine Jacquier & Patrick Roome, 2014. "Large-Maturity Regimes of the Heston Forward Smile," Papers 1410.7206, arXiv.org, revised Aug 2015.
6. Romain Bompis, 2017. "Weak approximations for arithmetic means of geometric Brownian motions and applications to Basket options," Working Papers hal-01502886, HAL.
7. 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.
8. Romain Bompis & Emmanuel Gobet, 2012. "Asymptotic and non asymptotic approximations for option valuation," Post-Print hal-00720650, HAL.
9. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2014. "Asymptotics for $d$-dimensional L\'evy-type processes," Papers 1404.3153, arXiv.org, revised Nov 2014.
10. Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
11. Emmanuel Gobet & Ali Suleiman, 2013. "New approximations in local volatility models," Post-Print hal-00523369, HAL.
12. Amel Bentata & Rama Cont, 2012. "Short-time asymptotics for marginal distributions of semimartingales," Working Papers hal-00667112, HAL.
13. Maria Siopacha & Josef Teichmann, 2010. "Weak and strong Taylor methods for numerical solutions of stochastic differential equations," Quantitative Finance, Taylor & Francis Journals, vol. 11(4), pages 517-528.
14. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
15. 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.
16. Sergio Albeverio & Francesco Cordoni & Luca Persio & Gregorio Pellegrini, 2019. "Asymptotic expansion for some local volatility models arising in finance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 527-573, December.
17. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion Formulas For European Quanto Options In A Local Volatility Fx-Libor Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(02), pages 1-43, March.
18. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A family of density expansions for L\'evy-type processes," Papers 1312.7328, arXiv.org.
19. Elisa Alòs, 2009. "A decomposition formula for option prices in the Heston model and applications to option pricing approximation," Economics Working Papers 1188, Department of Economics and Business, Universitat Pompeu Fabra.
20. Xu, Guoping & Zheng, Harry, 2010. "Basket options valuation for a local volatility jump-diffusion model with the asymptotic expansion method," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 415-422, December.
21. Gobet, Emmanuel & Miri, Mohammed, 2014. "Weak approximation of averaged diffusion processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 475-504.
22. Elisa Alòs & Yan Yang, 2014. "A closed-form option pricing approximation formula for a fractional Heston model," Economics Working Papers 1446, Department of Economics and Business, Universitat Pompeu Fabra.
23. Elisa Alòs & Rafael De Santiago & Josep Vives, 2012. "Calibration of stochastic volatility models via second order approximation: the Heston model case," Economics Working Papers 1346, Department of Economics and Business, Universitat Pompeu Fabra.
24. Amel Bentata & Rama Cont, 2012. "Short-time asymptotics for marginal distributions of semimartingales," Papers 1202.1302, arXiv.org.
25. Stefano, Pagliarani & Pascucci, Andrea & Candia, Riga, 2011. "Expansion formulae for local Lévy models," MPRA Paper 34571, University Library of Munich, Germany.
26. Cl'ement M'enass'e & Peter Tankov, 2015. "Asymptotic indifference pricing in exponential L\'evy models," Papers 1502.03359, arXiv.org, revised Feb 2015.
27. Julien Hok & Shih-Hau Tan, 2019. "Calibration of local volatility model with stochastic interest rates by efficient numerical PDE methods," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 609-637, December.
28. Stefan Gerhold & Max Kleinert & Piet Porkert & Mykhaylo Shkolnikov, 2012. "Small time central limit theorems for semimartingales with applications," Papers 1208.4282, arXiv.org.
29. Dan Pirjol & Lingjiong Zhu, 2023. "Asymptotics for Short Maturity Asian Options in Jump-Diffusion models with Local Volatility," Papers 2308.15672, arXiv.org, revised Feb 2024.
30. Julien Hok & Philip Ngare & Antonis Papapantoleon, 2018. "Expansion formulas for European quanto options in a local volatility FX-LIBOR model," Papers 1801.01205, arXiv.org, revised Apr 2018.
31. Guoping Xu & Harry Zheng, 2012. "Lower Bound Approximation to Basket Option Values for Local Volatility Jump-Diffusion Models," Papers 1212.3147, arXiv.org, revised Oct 2013.
32. Alev{s} v{C}ern'y & Stephan Denkl & Jan Kallsen, 2013. "Hedging in L\'evy Models and the Time Step Equivalent of Jumps," Papers 1309.7833, arXiv.org, revised Jul 2017.