Seattle, WA
United States
University of Washington - Applied Mathematics
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local-stochastic volatility, implied volatility, Heston, CEV, SABR
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implied volatility, local‐stochastic volatility, CEV, Heston, SABR
Spectral Methods, Stochastic Volatility, Barrier Options
implied volatility, leveraged ETF, moneyness scaling, local stochastic volatility
implied volatility, local‐stochastic volatility, leveraged exchange‐traded fund, implied volatility scaling
CEV, Local Volatility, Stochastic Volatility, Implied Volatility, Volatility Smile
Implied volatility, Exponential Lévy
Exponential Levy, Stochastic Volatility, Stochastic Jump Intensity, Spectral Theory, Perturbaton Theory
Stochastic volatility, Heston model, fast mean-reversion, asymptotics, implied volatility smile/skew
Local volatility, Lévy-type process, Asymptotic expansion, Pseudo-differential calculus, Defaultable asset
robust pricing, robust hedging, knock-in, knock-out, rebate, barrier, quadratic variation
stochastic volatility, time change, option pricing
CEV, Lévy, Local volatility, implied volatility, default
derivative pricing, stochastic volatility, local volatility, default, knock-out, barrier, spectral theory, eigenfunction, singular perturbation theory, regualar perturbation theory
parabolic PDE, asymptotic expansion, singular perturbation, analytical approximation
Levy-type
Long-term growth; Continuous-time Markov chain; Moving average; Optimal investment; Ornstein-Uhlenbeck process; Partial information; Simulation; Utility maximization
HJB equation; optimization; Poisson process; sports betting; stochastic control; utility
indifference pricing, implied volatility, PDE asymptotics, local‐stochastic volatility, Heston
This is a Risk Journals paper. Risk Journals charges $73.00 .
File name: SSRN-id2791417.pdf Size: 517K
Taylor series, local–stochastic volatility, time-dependent drift, diffusion coefficients
derivative pricing, stochastic volatility, local volatility, default, knock‐out, barrier, spectral theory, eigenfunction, singular perturbation theory, regular perturbation theory
