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Path-Dependent Volatility
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Path-Dependent Volatility (2014)Path-Dependent VolatilityNonlinear Option Pricing (2013)Nonlinear Option PricingMimicking an Itô process by a solution of a stochastic differential equation (2013)Mimicking an Itô process by a…Introduction to Stochastic Volatility Models (2011)Introduction to Stochastic Vo…Smile Dynamics II (2009)Smile Dynamics IIPath dependent volatility (2007)Path dependent volatilityComplete Models with Stochastic Volatility (1998)Complete Models with Stochast…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…The Pricing of Options on Assets with Stochastic Volatilities (1987)The Pricing of Options on Ass…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)Brownian Motion and Stochastic Calculus (1988)Brownian Motion and Stochastic Calculus (2007)On the convergence of closed-loop Nash equilibria to the mean field game limit (2020)McKean–Vlasov optimal control: The dynamic programming principle (2022)Volatility Is (Mostly) Path-Dependent (2022)The Pricing of Options and Corporate Liabilities (1973)Continuous‐Time Methods in Finance: A Review and an Assessment (2000)Local martingales, bubbles and option prices (2005)A Delayed Black and Scholes Formula (2007)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Option Pricing and Replication with Transactions Costs (1985)Fast Ninomiya–Victoir calibration of the double-mean-reverting model (2013)Volatility Options in Rough Volatility Models (2018)Functional central limit theorems for rough volatility (2024)Multiple time scales and the exponential Ornstein–Uhlenbeck stochastic volatility model (2006)Multiscale Intensity Models and Name Grouping for Valuation of Multi-Name Credit Derivatives (2009)Hermite polynomial based expansion of European option prices (2014)Affine processes under parameter uncertainty (2019)Inverting the Markovian projection, with an application to local stochastic volatility models (2020)Deep Curve-Dependent PDEs for Affine Rough Volatility (2023)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)A continuous dependence result for ultraparabolic equations in option pricing (2007)An Overview of Value at Risk (1997)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Variance Risk Premiums (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1987The Pricing of Options on Assets with Stochastic Volatilities1,179 cited
  • 1998Complete Models with Stochastic Volatility282 cited
  • 2013Mimicking an Itô process by a solution of a stochastic differential equation110 cited
  • 2011Introduction to Stochastic Volatility Models63 cited
  • 2013Nonlinear Option Pricing62 cited
  • 2009Smile Dynamics II56 cited
  • 2007Path dependent volatility33 cited

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