Via Valerio n. 4/1
DEAMS, Università di Trieste
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local stochastic volatility, Lévy process, analytical approximation, characteristic function, partial integro-differential equation, Fourier methods
Asian option, analytic approximation, hypoelliptic PDE
local-stochastic volatility, implied volatility, Heston, CEV, SABR
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: MAFI.
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implied volatility, local‐stochastic volatility, CEV, Heston, SABR
option pricing, analytical approximation, local volatility
Lévy process, local volatility, analytical approximation, partial integro-differential equation, Fourier methods
default, infinite dimensional analysis, vulnerable claims, Lévy process, characteristic function
default, additive processes, logarithmic utility, consumption, terminal wealth, contagion, portfolio optimization, growth-optimal portfolio, HJB, linear programming, verification theorem
Local volatility, Lévy-type process, Asymptotic expansion, Pseudo-differential calculus, Defaultable asset
asymptotic expansion, degenerate parabolic, PDE, option pricing, analytical approximation, short cylinders, asymptotic convergence, error estimates
backward stochastic differential equation, asymptotic expansion
parabolic PDE, asymptotic expansion, singular perturbation, analytical approximation
VIX Options, Multifactor Stochastic Volatility, Asymptotic Expansions
Nonlinear SDE in the McKean sense, small time/noise approximations, interacting random processes, nonlinear parabolic equations
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2791417.
Taylor series, local–stochastic volatility, time-dependent drift, diffusion coefficients
implied volatility, local diffusions, Markov processes, asymptotic expansion, local-stochastic volatility
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