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Asymptotics and calibration of local volatility models

Citations

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Cited by:

  1. Paolo Pigato, 2019. "Extreme at-the-money skew in a local volatility model," Finance and Stochastics, Springer, vol. 23(4), pages 827-859, October.
  2. Stefano Pagliarani & Andrea Pascucci, 2017. "The exact Taylor formula of the implied volatility," Finance and Stochastics, Springer, vol. 21(3), pages 661-718, July.
  3. Louis Paulot, 2009. "Asymptotic Implied Volatility at the Second Order with Application to the SABR Model," Papers 0906.0658, arXiv.org, revised May 2016.
  4. Zhi Jun Guo & Eckhard Platen, 2012. "The Small And Large Time Implied Volatilities In The Minimal Market Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-23.
  5. Stefano De Marco, 2020. "On the harmonic mean representation of the implied volatility," Papers 2007.03585, arXiv.org.
  6. Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023. "Local volatility under rough volatility," Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
  7. 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.
  8. Masaaki Fukasawa, 2022. "On asymptotically arbitrage-free approximations of the implied volatility," Papers 2201.02752, arXiv.org, revised Jan 2022.
  9. Cyril Grunspan & Joris van der Hoeven, 2017. "Effective asymptotic analysis for finance," Working Papers hal-01573621, HAL.
  10. Stefan Gerhold & Max Kleinert & Piet Porkert & Mykhaylo Shkolnikov, 2012. "Small time central limit theorems for semimartingales with applications," Papers 1208.4282, arXiv.org.
  11. 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.
  12. Amel Bentata & Rama Cont, 2012. "Short-time asymptotics for marginal distributions of semimartingales," Working Papers hal-00667112, HAL.
  13. Cyril Grunspan & Joris Van Der Hoeven, 2020. "Effective Asymptotics Analysis For Finance," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-23, March.
  14. Masaaki Fukasawa & Jim Gatheral, 2021. "A rough SABR formula," Papers 2105.05359, arXiv.org.
  15. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2012. "High-order short-time expansions for ATM option prices of exponential L\'evy models," Papers 1208.5520, arXiv.org, revised Apr 2014.
  16. Yang Liu & Zhenyu Shen, 2024. "PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets," Papers 2406.00435, arXiv.org, revised Nov 2024.
  17. 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).
  18. Lingjiong Zhu, 2015. "Options with Extreme Strikes," Risks, MDPI, vol. 3(3), pages 1-16, July.
  19. Xiu, Dacheng, 2014. "Hermite polynomial based expansion of European option prices," Journal of Econometrics, Elsevier, vol. 179(2), pages 158-177.
  20. Stephane Crepey, 2004. "Delta-hedging vega risk?," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 559-579.
  21. Cyril Grunspan & Joris van der Hoeven, 2020. "Effective asymptotic analysis for finance," Post-Print hal-01573621, HAL.
  22. A. Brace & G. Fabbri & B. Goldys, 2007. "An Hilbert space approach for a class of arbitrage free implied volatilities models," Papers 0712.1343, arXiv.org, revised Dec 2007.
  23. Romain Bompis, 2017. "Weak approximations for arithmetic means of geometric Brownian motions and applications to Basket options," Working Papers hal-01502886, HAL.
  24. 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.
  25. Jos'e E. Figueroa-L'opez & Yankeng Luo & Cheng Ouyang, 2011. "Small-time expansions for local jump-diffusion models with infinite jump activity," Papers 1108.3386, arXiv.org, revised Jul 2014.
  26. Valdo Durrleman, 2010. "From implied to spot volatilities," Finance and Stochastics, Springer, vol. 14(2), pages 157-177, April.
  27. Nairn McWilliams & Sotirios Sabanis, 2011. "Arithmetic Asian Options under Stochastic Delay Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 18(5), pages 423-446, February.
  28. Gabriel TURINICI, 2008. "Local Volatility Calibration Using An Adjoint Proxy," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 2, pages 93-105, November.
  29. Carol Alexander & Leonardo M. Nogueira, 2004. "Hedging with Stochastic and Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2004-10, Henley Business School, University of Reading, revised Dec 2004.
  30. Dan Pirjol & Jing Wang & Lingjiong Zhu, 2017. "Short Maturity Forward Start Asian Options in Local Volatility Models," Papers 1710.03160, arXiv.org.
  31. 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.
  32. Dan Pirjol & Lingjiong Zhu, 2024. "Short-maturity asymptotics for option prices with interest rates effects," Papers 2402.14161, arXiv.org.
  33. Amel Bentata & Rama Cont, 2012. "Short-time asymptotics for marginal distributions of semimartingales," Papers 1202.1302, arXiv.org.
  34. Peter Friz & Stefan Gerhold & Arpad Pinter, 2016. "Option Pricing in the Moderate Deviations Regime," Papers 1604.01281, arXiv.org.
  35. Dan Pirjol & Xiaoyu Wang & Lingjiong Zhu, 2024. "Short-maturity asymptotics for VIX and European options in local-stochastic volatility models," Papers 2407.16813, arXiv.org.
  36. Archil Gulisashvili & Peter Tankov, 2014. "Implied volatility of basket options at extreme strikes," Papers 1406.0394, arXiv.org.
  37. David Heath & Eckhard Platen, 2006. "Local volatility function models under a benchmark approach," Quantitative Finance, Taylor & Francis Journals, vol. 6(3), pages 197-206.
  38. Chargoy-Corona, Jesús & Ibarra-Valdez, Carlos, 2006. "A note on Black–Scholes implied volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 681-688.
  39. Jing Zhao & Hoi Ying Wong, 2012. "A closed-form solution to American options under general diffusion processes," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 725-737, July.
  40. Benjamin Jourdain & Mohamed Sbai, 2012. "Coupling index and stocks," Quantitative Finance, Taylor & Francis Journals, vol. 12(5), pages 805-818, March.
  41. Amel Bentata & Rama Cont, 2015. "Forward equations for option prices in semimartingale models," Finance and Stochastics, Springer, vol. 19(3), pages 617-651, July.
  42. Jos'e E. Figueroa-L'opez & Ruoting Gong & Christian Houdr'e, 2011. "High-order short-time expansions for ATM option prices under the CGMY model," Papers 1112.3111, arXiv.org, revised Aug 2012.
  43. Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
  44. Roberto Daluiso & Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2020. "Pricing commodity swing options," Papers 2001.08906, arXiv.org.
  45. Thomas Mazzoni, 2018. "Asymptotic Expansion of Risk-Neutral Pricing Density," IJFS, MDPI, vol. 6(1), pages 1-26, March.
  46. Martin Schweizer & Johannes Wissel, 2008. "Arbitrage-free market models for option prices: the multi-strike case," Finance and Stochastics, Springer, vol. 12(4), pages 469-505, October.
  47. Humayra Shoshi & Indranil SenGupta, 2023. "Some asymptotics for short maturity Asian options," Papers 2302.05421, arXiv.org, revised Sep 2024.
  48. Christian Keller & Michael C. Tseng, 2023. "Arrow-Debreu Meets Kyle: Price Discovery Across Derivatives," Papers 2302.13426, arXiv.org, revised Nov 2024.
  49. Abdulwahab Animoku & Ömür Uğur & Yeliz Yolcu-Okur, 2018. "Modeling and implementation of local volatility surfaces in Bayesian framework," Computational Management Science, Springer, vol. 15(2), pages 239-258, June.
  50. Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.
  51. Dan Pirjol & Lingjiong Zhu, 2017. "Short Maturity Asian Options for the CEV Model," Papers 1702.03382, arXiv.org.
  52. Soohan Kim & Seok-Bae Yun & Hyeong-Ohk Bae & Muhyun Lee & Youngjoon Hong, 2022. "Physics-Informed Convolutional Transformer for Predicting Volatility Surface," Papers 2209.10771, arXiv.org, revised Nov 2023.
  53. Figueroa-López, José E. & Gong, Ruoting & Houdré, Christian, 2012. "Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps," Stochastic Processes and their Applications, Elsevier, vol. 122(4), pages 1808-1839.
  54. Viorel Costeanu & Dan Pirjol, 2011. "Asymptotic Expansion for the Normal Implied Volatility in Local Volatility Models," Papers 1105.3359, arXiv.org.
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