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Extreme-strike asymptotics for general Gaussian stochastic volatility models
16 references·0 citing·43 second hop
Extreme-strike asymptotics for general Gaussian stochastic volatility models (2018)Extreme-strike asymptotics for general Ga…Arbitrage-free SVI volatility surfaces (2013)Arbitrage-free SVI volatility…Stochastic volatility and option pricing with long-memory in discrete and continuous time (2012)Stochastic volatility and opt…Analytically Tractable Stochastic Stock Price Models (2012)Analytically Tractable Stocha…Asymptotics of Implied Volatility to Arbitrary Order (2011)Asymptotics of Implied Volati…Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes (2010)Asymptotic Formulas with Erro…REGULAR VARIATION AND SMILE ASYMPTOTICS (2009)REGULAR VARIATION AND SMILE A…Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models (2009)Asymptotic Behavior of the St…Smile Asymptotics II: Models with Known Moment Generating Functions (2008)Smile Asymptotics II: Models …The Volatility Surface: A Practitioner's Guide (2006)The Volatility Surface: A Pra…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION (2003)ON SPECTRAL SIMULATION OF FRA…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 (1996)OPTION HEDGING AND IMPLIED VO…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Continuous Martingales and Brownian Motion (1991)Continuous Martingales and Br…Fractional Brownian Motions, Fractional Noises and Applications (1968)The Pricing of Options and Corporate Liabilities (1973)Modeling and Forecasting Realized Volatility (2001)Time-changed Lévy processes and option pricing (2003)Brownian Motion and Stochastic Calculus (2007)Volatility Is Rough (2018)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)The pricing of commodity contracts (1976)A Jump-Diffusion Model for Option Pricing (2002)Option pricing by transform methods: extensions, unification and error control (2004)Crash-neutral currency carry trades (2014)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)Brownian Motion and Stochastic Calculus (1988)Fractional Brownian Heavy Traffic Approximations of Multiclass Feedforward Queueing Networks (2005)Fast simulation of overflow probabilities in a queue with Gaussian input (2006)Assessing relative volatility/ intermittency/energy dissipation (2014)Processes of normal inverse Gaussian type (1997)Lévy processes in finance pricing financial derivatives (2003)Lévy Processes in Finance (2003)MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (2010)Pricing and Hedging in Exponential Lévy Models: Review of Recent Results (2010)Forecasting with Option-Implied Information (2013)Martingales and arbitrage in multiperiod securities markets (1979)Martingales and stochastic integrals in the theory of continuous trading (1981)BENCHOP – The BENCHmarking project in option pricing (2015)Neural Networks for Option Pricing and Hedging: A Literature Review (2019)Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Econophysics review: I. Empirical facts (2011)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Pricing under rough volatility (2015)A general version of the fundamental theorem of asset pricing (1994)Arbitrage Theory in Continuous Time (1998)Stock Return Characteristics, Skew Laws, and the Differential Pricing of Individual Equity Options (2003)
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References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 2006The Volatility Surface: A Practitioner's Guide735 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1240 cited
  • 2013Arbitrage-free SVI volatility surfaces224 cited
  • 2009REGULAR VARIATION AND SMILE ASYMPTOTICS133 cited
  • 2003ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION90 cited
  • 2008Smile Asymptotics II: Models with Known Moment Generating Functions80 cited
  • 2012Analytically Tractable Stochastic Stock Price Models71 cited
  • 2010Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes68 cited
  • 2009Asymptotic Behavior of the Stock Price Distribution Density and Implied Volatility in Stochastic Volatility Models67 cited
  • 2011Asymptotics of Implied Volatility to Arbitrary Order63 cited

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  • 2012Stochastic volatility and option pricing with long-memory in discrete and continuous time50 cited
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