The Heat-Kernel Most-Likely-Path Approximation
In: Finance at Fields
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Cited by:
- Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
- Hossein Jafari & Ghazaleh Rahimi, 2019. "Small-Time Asymptotics In Geometric Asian Options For A Stochastic Volatility Jump-Diffusion Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(02), pages 1-19, March.
- Lingjiong Zhu, 2015. "Short maturity options for Azéma–Yor martingales," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-32, December.
- Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2018. "Most-Likely-Path In Asian Option Pricing Under Local Volatility Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(05), pages 1-32, August.
- Louis-Pierre Arguin & Nien-Lin Liu & Tai-Ho Wang, 2017. "Most-likely-path in Asian option pricing under local volatility models," Papers 1706.02408, arXiv.org, revised Aug 2018.
- 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.
- Siyan Zhang & Anna L. Mazzucato & Victor Nistor, 2016. "Heat Kernels, Solvable Lie Groups, and the Mean Reverting SABR Stochastic Volatility Model," Papers 1605.03097, arXiv.org.
- Leif Döring & Blanka Horvath & Josef Teichmann, 2017. "Functional Analytic (Ir-)Regularity Properties Of Sabr-Type Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-48, May.
- Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
- Lingjiong Zhu, 2015. "Options with Extreme Strikes," Risks, MDPI, vol. 3(3), pages 1-16, July.
- Thomas Mazzoni, 2018. "Asymptotic Expansion of Risk-Neutral Pricing Density," IJFS, MDPI, vol. 6(1), pages 1-26, March.
- Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
- Stefano De Marco & Peter Friz, 2013. "Varadhan's formula, conditioned diffusions, and local volatilities," Papers 1311.1545, arXiv.org, revised Jun 2016.
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Keywords
Mathematical Finance; Financial Mathematics; Risk Management; Asset Pricing; Computational Finance; Derivatives; Option Pricing; Portfolio Optimization;All these keywords.
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