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Explicit implied volatilities for multifactor local-stochastic volatility models

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Cited by:

  1. 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.
  2. 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.
  3. 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.
  4. Jaehyuk Choi & Byoung Ki Seo, 2023. "Option pricing under the normal SABR model with Gaussian quadratures," Papers 2301.02797, arXiv.org.
  5. 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.
  6. 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.
  7. Stefano Pagliarani & Andrea Pascucci, 2017. "The exact Taylor formula of the implied volatility," Finance and Stochastics, Springer, vol. 21(3), pages 661-718, July.
  8. 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.
  9. Matthew Lorig & Natchanon Suaysom, 2021. "Options on Bonds: Implied Volatilities from Affine Short-Rate Dynamics," Papers 2106.04518, arXiv.org.
  10. 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).
  11. Matthew Lorig, 2014. "Indifference prices and implied volatilities," Papers 1412.5520, arXiv.org, revised Sep 2015.
  12. Matthew Lorig & Natchanon Suaysom, 2022. "Explicit Caplet Implied Volatilities for Quadratic Term-Structure Models," Papers 2212.04425, arXiv.org.
  13. 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.
  14. 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.
  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. 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.
  17. 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.
  18. Ankush Agarwal & Matthew Lorig, 2019. "The implied Sharpe ratio," Papers 1908.04837, arXiv.org.
  19. Tim Leung & Matthew Lorig, 2016. "Optimal static quadratic hedging," Quantitative Finance, Taylor & Francis Journals, vol. 16(9), pages 1341-1355, September.
  20. Matthew Lorig & Stefano Pagliarani & Andrea Pascucci, 2013. "A Taylor series approach to pricing and implied vol for LSV models," Papers 1308.5019, arXiv.org.
  21. Matthew Lorig & Ronnie Sircar, 2015. "Portfolio Optimization under Local-Stochastic Volatility: Coefficient Taylor Series Approximations & Implied Sharpe Ratio," Papers 1506.06180, arXiv.org.
  22. 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).
  23. 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.
  24. 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.
  25. Ankush Agarwal & Ronnie Sircar, 2016. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Papers 1610.08558, arXiv.org.
  26. 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.
  27. 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.
  28. Ankush Agarwal & Ronnie Sircar, 2017. "Portfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio," Working Papers hal-01388399, HAL.
  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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