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Search: subject:"Local volatility model"
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Subject
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Option pricing theory
15
Optionspreistheorie
15
Volatility
15
Volatilität
15
Local volatility model
10
Black-Scholes model
9
Black-Scholes-Modell
9
Stochastic process
9
Stochastischer Prozess
9
local volatility model
9
Modellierung
3
Option trading
3
Optionsgeschäft
3
Scientific modelling
3
Statistical distribution
3
Statistische Verteilung
3
asymptotic expansion
3
Derivat
2
Derivative
2
Estimation theory
2
Hybrid derivatives
2
Implied volatility
2
Interest rate
2
Malliavin calculus
2
Most-likely-path
2
Schätztheorie
2
Skew Brownian motion
2
Yield curve
2
Zins
2
Zinsstruktur
2
best-of options
2
closed-form solutions
2
expansion formula
2
heat kernel expansion
2
implied volatility
2
inflation derivatives
2
ARCH model
1
ARCH-Modell
1
Alternating direction implicit (ADI) method
1
American options
1
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Undetermined
14
Free
3
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Article
19
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2
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14
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14
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1
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1
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1
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1
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English
16
Undetermined
5
Author
All
Engelmann, Bernd
2
Funahashi, Hideharu
2
Gairat, Alexander
2
Hok, Julien
2
Shcherbakov, Vadim
2
Animoku, Abdulwahab
1
BENHAMOU, E.
1
Barkhagen, Mathias
1
Blomvall, Jörgen
1
Chan, Leunglung
1
Elliott, Robert J.
1
Fengler, Matthias
1
Futami, Hidenori
1
GATHERAL, JIM
1
GOBET, E.
1
GOBET, EMMANUEL
1
Gatheral, Jim
1
Gobet, Emmanuel
1
HOK, JULIEN
1
Koster, Frank
1
Labart, Céline
1
Lelong, Jérôme
1
Li, Dan
1
Liu, Lixin
1
Lok, U. Hou
1
Lyuu, Yuh-dauh
1
MIRI, M.
1
Nalholm, Morten
1
Oeltz, Daniel
1
Pirjol, Dan
1
Platen, Eckhard
1
Schwendner, Peter
1
Siu, Tak Kuen
1
Takahashi, Akihiko
1
Takaoka, Koichiro
1
Tan, Shih-Hau
1
Uğur, Ömür
1
WANG, TAI-HO
1
Wang, Jing
1
Wang, Tai-Ho
1
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HAL
1
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International journal of theoretical and applied finance
5
International Journal of Theoretical and Applied Finance (IJTAF)
3
Applied mathematical finance
1
Asia-Pacific Financial Markets
1
Asia-Pacific financial markets
1
Computational Management Science : CMS
1
Computational economics
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
1
Finance and stochastics
1
International journal of financial engineering
1
Mathematical finance : an international journal of mathematics, statistics and financial theory
1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
1
Review of Derivatives Research
1
The North American journal of economics and finance : a journal of financial economics studies
1
Working Papers / HAL
1
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Source
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ECONIS (ZBW)
15
RePEc
6
Showing
1
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10
of
21
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date (oldest first)
1
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
Saved in:
2
Calibration of the Heston stochastic
local
volatility
model
: a finite volume scheme
Engelmann, Bernd
;
Koster, Frank
;
Oeltz, Daniel
- In:
International journal of financial engineering
8
(
2021
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10012654678
Saved in:
3
Psychological barriers and option pricing in a
local
volatility
model
Li, Dan
;
Liu, Lixin
;
Xu, Guangli
- In:
The North American journal of economics and finance : a …
64
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014246900
Saved in:
4
A valid and efficient trinomial tree for general local-volatility models
Lok, U. Hou
;
Lyuu, Yuh-dauh
- In:
Computational economics
60
(
2022
)
3
,
pp. 817-832
Persistent link: https://www.econbiz.de/10013380840
Saved in:
5
Replication scheme for the pricing of European options
Funahashi, Hideharu
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-37
Persistent link: https://www.econbiz.de/10012652628
Saved in:
6
Recovering the real-world density and liquidity premia from option data
Barkhagen, Mathias
;
Blomvall, Jörgen
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344223
Saved in:
7
Short maturity forward start Asian options in local volatility models
Pirjol, Dan
;
Wang, Jing
;
Zhu, Lingjiong
- In:
Applied mathematical finance
26
(
2019
)
3
,
pp. 187-221
Persistent link: https://www.econbiz.de/10012210271
Saved in:
8
Calibration of
local
volatility
model
with stochastic interestrates by efficient numerical PDE methods
Hok, Julien
;
Tan, Shih-Hau
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 609-637
Persistent link: https://www.econbiz.de/10012127281
Saved in:
9
Modeling and implementation of local volatility surfaces in Bayesian framework
Animoku, Abdulwahab
;
Uğur, Ömür
;
Yolcu-Okur, Yeliz
- In:
Computational Management Science : CMS
15
(
2018
)
2
,
pp. 239-258
Persistent link: https://www.econbiz.de/10011876581
Saved in:
10
Density of Skew Brownian motion and its functionals with application in finance
Gairat, Alexander
;
Shcherbakov, Vadim
- In:
Mathematical finance : an international journal of …
27
(
2017
)
4
,
pp. 1069-1088
Persistent link: https://www.econbiz.de/10011765020
Saved in:
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