Athens, OH 45701-2979
SABR model, asymptotic expansions, implied volatility
Gaussian stochastic volatility models, Volterra type models, sample path large and moderate deviations, central limit regime, moment explosions, implied volatility asymptotics
Gaussian stochastic volatility models, super rough models, sample path large deviation principle, logarithmic model, binary up-and-in barrier options, binary call options
stochastic volatility models with reflection, reflecting diffusions, large deviation principles, binary barrier options, call pricing functions.
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computational finance, Heston model, option pricing, price approximations, stochastic volatility models, vanilla options
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