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Let's Be Rational
2 references·1 citing·14 second hop
Let's Be Rational (2015)Let's Be RationalAsymptotics and calibration of local volatility models (2002)Asymptotics and calibration o…A Simple Formula to Compute the Implied Standard Deviation (1988)A Simple Formula to Compute t…On Deep Calibration of (rough) Stochastic Volatility Models (2025)On Deep Calibration of (rough…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A General Asymptotic Implied Volatility for Stochastic Volatility Models (2005)Theory of rational option pricing (2005)SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2010)Fractional Brownian Motions, Fractional Noises and Applications (1968)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Robust Pricing and Hedging via Neural SDEs (2020)Short-dated smile under rough volatility: asymptotics and numerics (2021)Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)Implied Volatility (1995)Variance Risk Premia (2004)Volatility Derivatives (2009)
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References

  • 2002Asymptotics and calibration of local volatility models203 cited
  • 1988A Simple Formula to Compute the Implied Standard Deviation194 cited

Cited by

  • 2025On Deep Calibration of (rough) Stochastic Volatility Models34 cited

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