Results 51 to 60 of about 1,031 (117)
Analytical approximation of the transition density in a local volatility model [PDF]
We present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic ...
Pagliarani, Stefano, Pascucci, Andrea
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"Pricing Barrier and Average Options under Stochastic Volatility Environment" [PDF]
This paper proposes a new approximation method of pricing barrier and average options under stochastic volatility environment by applying an asymptotic expansion approach.
Akihiko Takahashi +2 more
core +3 more sources
A VOLATILITY-OF-VOLATILITY EXPANSION OF THE OPTION PRICES IN THE SABR STOCHASTIC VOLATILITY MODEL [PDF]
, 2020 Olesya V. Grishchenko +2 more
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Hedging Options with Scale-Invariant Models [PDF]
A price process is scale-invariant if and only if the returns distribution is independent of the price level. We show that scale invariance preserves the homogeneity of a pay-off function throughout the life of the claim and hence prove that standard ...
Carol Alexander, Leonardo M. Nogueira
core
Option data and modeling BSM implied volatility [PDF]
This contribution to the Handbook of Computational Finance, Springer-Verlag, gives an overview on modeling implied volatility data. After introducing the concept of Black-Scholes-Merton implied volatility (IV), the empirical stylized facts of IV data are
Matthias Fengler
core
"On Approximation of the Solutions to Partial Differential Equations in Finance" [PDF]
This paper proposes a general approximation method for the solutions to second-order parabolic partial differential equations (PDEs) widely used in finance through an extension of Léandre's approach(Léandre (2006,2008)) and the Bismut identiy(e.g ...
Akihiko Takahashi, Toshihiro Yamada
core
The equivalent CEV volatility of the SABR model [PDF]
, 2019 Jaehyuk Choi, Lixin Wu
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Fine-tune your smile: Correction to Hagan et al
, 2008 In this small note we use results derived in Berestycki et al. to correct the celebrated formulae of Hagan et al. We derive explicitly the correct zero order term in the expansion of the implied volatility in time to maturity.
Obloj, Jan
core
Mass at zero in the uncorrelated SABR model and implied volatility asymptotics [PDF]
, 2018 Archil Gulisashvili +2 more
openalex +1 more source