Price expansion formulas for model combining local and stochastic volatility
暂无分享,去创建一个
[1] M. Forde,et al. The large-maturity smile for the SABR and CEV-heston models , 2013 .
[2] J. Fouque,et al. Option pricing under hybrid stochastic and local volatility , 2013 .
[3] E. Gobet,et al. Asymptotic and Non Asymptotic Approximations for Option Valuation , 2012 .
[4] A. Jacquier,et al. Small-Time Asymptotics for an Uncorrelated Local-Stochastic Volatility Model , 2011 .
[5] Eric Benhamou,et al. Expansion formulas for European options in a local volatility model , 2010 .
[6] A. Jacquier,et al. SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL , 2009 .
[7] Eric Benhamou,et al. Time Dependent Heston Model , 2009, SIAM J. Financial Math..
[8] P. Henry-Labordère. Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing , 2008 .
[9] E. Gobet,et al. Smart expansion and fast calibration for jump diffusions , 2007, Finance Stochastics.
[10] Christian-Oliver Ewald,et al. Malliavin differentiability of the Heston volatility and applications to option pricing , 2007, Advances in Applied Probability.
[11] P. Henry-Labordère. A General Asymptotic Implied Volatility for Stochastic Volatility Models , 2005, cond-mat/0504317.
[12] H. Berestycki,et al. Computing the implied volatility in stochastic volatility models , 2004 .
[13] Paul Glasserman,et al. Monte Carlo Methods in Financial Engineering , 2003 .
[14] Alan L. Lewis. Option Valuation Under Stochastic Volatility: With Mathematica Code , 2000 .
[15] P. Hagan,et al. Equivalent Black volatilities , 1999 .
[16] D. Nualart. The Malliavin Calculus and Related Topics , 1995 .
[17] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[18] Joseph B. Keller,et al. Rays, waves and asymptotics , 1978 .
[19] Emmanuel Gobet,et al. Weak approximation of averaged diffusion processes , 2014 .
[20] Charles Tier,et al. Asymptotic Approximations to Deterministic and Stochastic Volatility Models , 2011, SIAM J. Financial Math..
[21] E. Gobet. SENSITIVITY ANALYSIS USING ITÔ – MALLIAVIN CALCULUS AND , 2002 .
[22] P. Hagan,et al. MANAGING SMILE RISK , 2002 .
[23] P. Protter. Stochastic integration and differential equations , 1990 .
[24] M. I. Freĭdlin,et al. Random Perturbations of Dynamical Systems , 1984 .