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Implied volatility, Black-Scholes formula, rational approximation
Multi-asset spread options, boundary approximation, Kirk approximation
Multi-asset spread options, Second-order boundary approximation, Closed-form approximation
Successive over-relaxation, Black-Scholes formula, Implied volatility, Convergence acceleration, Rational approximation
option pricing models, performance comparison, implied skew
Wrong-way risk; Credit value adjustment; jump diffusion model; default
linear SDE, chaos expansion, PDE, perturbation approach, quanto CDS
LIBOR-OIS basis, jump-diffusion dynamics, zero-coupon swap, swap gap risk
multivariate Gram-Charlier approximation, nonnormality, exchange option, Margrabe formula
Timer options, Asymptotic expansion, Closed-form approximation, Perturbation
American option, Analytical approximation, Critical stock price
American option, Interpolation method, Quasi-analytical approximation, Critical boundary, Heston's Stochastic volatility model
American option, Interpolation method, Quasi-analytical approximation, Critical boundary, Heston’s Stochastic volatility model
Damped diffusion, asset price bubbles, martingale pricing, maximum likelihood estimation, parametric specification test
Damped diffusion, Asset Price Bubbles, Martingale Pricing, Maximum Likelihood Estimation
Risk index, Attractiveness index, Duality, Additive gambles, Multiplicative gambles
Index of Risk, Duality, Gamble
profile empirical likelihood, estimating equation, Jackknife
Volatility Indices, Continuous-time Dynamics, Maximum Likelihood Estimation, Parametric Specification Test
Implied volatility, Black-Scholes formula, Rational functions
Spread option, Closed-form approximation, Greeks
Spread options, exercise boundary, closed-form approximation
Implied volatility, volatility skew, index options
