Search Results - subject:"Local volatility"

Pirjol, Dan - In: Risks : open access journal 13 (2025) 8, pp. 1-20

-maturity analytical results under the Black-Scholes model and in a local volatility model show good agreement for strikes sufficiently …We study the shape of the Bachelier-implied volatility of a spread option on two assets following correlated local … volatility models. This includes the limiting case of spread options on two correlated Black-Scholes (BS) assets. We give an …

Persistent link: https://www.econbiz.de/10015448976

Linking futures and options pricing in the natural gas market

Rotondi, Francesco - In: Risks : open access journal 13 (2025) 6, pp. 1-28

stochastic convenience yield and a local volatility factor. This framework enables a simultaneous and accurate fit of both …

Persistent link: https://www.econbiz.de/10015436556

Extreme ATM skew in a local volatility model with discontinuity : joint density approach

Gairat, Alexander; Shcherbakov, Vadim - In: Finance and stochastics 28 (2024) 4, pp. 1179-1202

Persistent link: https://www.econbiz.de/10015130561

Pricing and hedging autocallable products by Markov chain approximation

Cui, Yeda; Li, Lingfei; Zhang, Gongqiu - In: Review of derivatives research 27 (2024) 3, pp. 259-303

Persistent link: https://www.econbiz.de/10015133991

An explosion time characterization of asset price bubbles

Jarrow, Robert A.; Kwok, Simon Sai Man - In: International review of finance : the official journal … 23 (2023) 2, pp. 469-479

Persistent link: https://www.econbiz.de/10014326312

Hedging options in a hidden Markov-switching local-volatility model via stochastic flows and a Monte-Carlo method

Elliott, Robert J.; Siu, Tak Kuen - In: The journal of futures markets 43 (2023) 7, pp. 925-950

Persistent link: https://www.econbiz.de/10014293270

Implied local volatility models

Li, Chen Xu; Li, Chenxu; Li, Chun - In: Journal of empirical finance 80 (2025), pp. 1-28

Persistent link: https://www.econbiz.de/10015329717

Tighter bounds for implied volatility with the dirac delta family method

Cui, Zhenyu; Liu, Yanchu; Yao, Yuhang - In: The journal of futures markets 45 (2025) 11, pp. 1970-1988

Persistent link: https://www.econbiz.de/10015465743

A general valuation framework for rough stochastic local volatility models and applications

Yang, Wensheng; Ma, Jingtang; Cui, Zhenyu - In: European journal of operational research : EJOR 322 (2025) 1, pp. 307-324

Persistent link: https://www.econbiz.de/10015411725

Calibration of local volatility surfaces from observed market call and put option prices

Yoo, Changwoo; Kwak, Soobin; Hwang, Youngjin; Jang, Hanbyeol - In: Computational economics 65 (2025) 3, pp. 1147-1168

Persistent link: https://www.econbiz.de/10015590020