Results 61 to 70 of about 1,033 (104)
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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A Gamma Ornstein-Uhlenbeck model driven by a Hawkes process. [PDF]
Math Financ Econ, 2021 Bernis G +3 more
europepmc +1 more source
"On Pricing Barrier Options with Discrete Monitoring" [PDF]
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively ...
Akihiko Takahashi +2 more
core
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
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
"Pricing Swaptions under the Libor Market Model of Interest Rates with Local-Stochastic Volatility Models" [PDF]
This paper presents a new approximation formula for pricing swaptions and caps/floors under the LIBOR market model of interest rates (LMM) with the local and affine-type stochastic volatility.
Akihiko Takahashi +2 more
core
Pricing Discrete Barrier Options under Stochastic Volatility [PDF]
This paper proposes a new approximation method for pricing barrier options with discrete monitoring under stochastic volatility environment. In particular, the integration-by-parts formula and the duality formula in Malliavin calculus are effectively ...
Akihiko Takahashi +2 more
core
Option pricing in the moderate deviations regime. [PDF]
Math Financ, 2018 Friz P, Gerhold S, Pinter A.
europepmc +1 more source