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Small-Time Asymptotics for Gaussian Self-Similar Stochastic Volatility Models
16 references·1 citing·36 second hop
Small-Time Asymptotics for Gaussian Self-Similar Stochastic Volatility Models (2018)Small-Time Asymptotics for Gaussian Self-…Volatility Is Rough (2018)Volatility Is RoughThe Small-Time Smile and Term Structure of Implied Volatility under the Heston Model (2012)The Small-Time Smile and Term…Selected Aspects of Fractional Brownian Motion (2012)Selected Aspects of Fractiona…Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Multiscale Stochastic Volatil…ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2010)ASYMPTOTICS OF IMPLIED VOLATI…Asymptotic analysis for stochastic volatility: martingale expansion (2010)Asymptotic analysis for stoch…Affine fractional stochastic volatility models (2010)Affine fractional stochastic …SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009)SMALL-TIME ASYMPTOTICS FOR IM…Selfsimilar Processes (2009)Selfsimilar ProcessesOn the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)On the short-time behavior of…THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)THE MOMENT FORMULA FOR IMPLIE…Computing the implied volatility in stochastic volatility models (2004)Computing the implied volatil…Option valuation under stochastic volatility: with mathematica code (2002)Option valuation under stocha…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Long memory in continuous‐time stochastic volatility models (1998)Long memory in continuous‐tim…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Extreme-strike asymptotics for general Gaussian stochastic volatility models (2018)Extreme-strike asymptotics fo…The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Brownian Motion and Stochastic Calculus (2007)A regime-switching Heston model for VIX and S&P 500 implied volatilities (2013)Portfolio Optimization with Ambiguous Correlation and Stochastic Volatilities (2016)A sequential sampling strategy for extreme event statistics in nonlinear dynamical systems (2018)Fractional Brownian Motions, Fractional Noises and Applications (1968)Modeling and Forecasting Realized Volatility (2001)Time-changed Lévy processes and option pricing (2003)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)Arbitrage-free SVI volatility surfaces (2013)Crash-neutral currency carry trades (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)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)The Pricing of Options on Assets with Stochastic Volatilities (1987)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)Time Dependent Heston Model (2010)Deep learning volatility: a deep neural network perspective on pricing and calibration in (rough) volatility models (2020)Theory of Rational Option Pricing (1973)Theory of rational option pricing (2005)Modeling and Forecasting Realized Volatility (2003)Pricing under rough volatility (2015)The microstructural foundations of leverage effect and rough volatility (2018)The characteristic function of rough Heston models (2019)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)Options and Bubbles (2006)Option pricing when correlations are stochastic: an analytical framework (2007)Science metrics on fractional calculus development since 1966 (2013)The optimal fourth moment theorem (2015)Short-time at-the-money skew and rough fractional volatility (2016)
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References

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  • 2018Volatility Is Rough793 cited
  • 1998Long memory in continuous‐time stochastic volatility models752 cited
  • 2004THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES335 cited
  • 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives329 cited
  • 2012Selected Aspects of Fractional Brownian Motion255 cited
  • 2007On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility239 cited
  • 2002Option valuation under stochastic volatility: with mathematica code228 cited
  • 2004Computing the implied volatility in stochastic volatility models222 cited
  • 2010ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS165 cited
  • 2010Asymptotic analysis for stochastic volatility: martingale expansion160 cited
  • 2010Affine fractional stochastic volatility models150 cited
  • 2009Selfsimilar Processes146 cited
  • 2012The Small-Time Smile and Term Structure of Implied Volatility under the Heston Model116 cited

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  • 2009SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL116 cited
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    • 2018Extreme-strike asymptotics for general Gaussian stochastic volatility models20 cited