Search Results - subject:"local-stochastic volatility"

Pricing Autocallables under Local-Stochastic Volatility

Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - 2022

This paper investigates the pricing of single-asset autocallable barrier reverse convertibles in the Heston local-stochastic … volatility (LSV) model. Despite their complexity, autocallable structured notes are the most traded equity-linked exotic …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013491888

Calibration of local-stochastic volatility models by optimal transport

Guo, Ivan; Loeper, Grégoire; Wang, Shiyi - In: Mathematical finance : an international journal of … 32 (2022) 1, pp. 46-77

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012815947

Joint calibration of S&P 500 and VIX options under local stochastic volatility models

Zhou, Zhiqiang; Xu, Wei; Rubtsov, Alexey - In: International journal of finance & economics : IJFE 29 (2024) 1, pp. 273-310

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014469009

Introducing two mixing fractions to a lognormal local-stochastic volatility model

Lee, Geoffrey; Owens, Bowie; Zhu, Zili - In: The journal of computational finance 24 (2020) 3, pp. 41-58

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012543634

Indifference prices and implied volatilities

Lorig, Matthew - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 372-408

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011969157

Explicit implied volatilities for multifactor local-stochastic volatility models

Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea - In: Mathematical finance : an international journal of … 27 (2017) 3, pp. 926-960

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011764989

Leveraged ETF implied volatilities from ETF dynamics

Leung, Tim; Lorig, Matthew; Pascucci, Andrea - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1035-1068

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011765018

The exact Taylor formula of the implied volatility

Pagliarani, Stefano; Pascucci, Andrea - In: Finance and stochastics 21 (2017) 3, pp. 661-718

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011944416

An approximation method for pricing continuous barrier options under multi-asset local stochastic volatility models

Shiraya, Kenichiro - In: International journal of theoretical and applied finance 23 (2020) 8, pp. 1-20

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012496929

NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME

TAKAHASHI, AKIHIKO; TODA, MASASHI - In: International Journal of Theoretical and Applied … 16 (2013) 05, pp. 1350031-1

This paper presents an extension of a general computational scheme for asymptotic expansions proposed in earlier works by the authors and coworkers. In the earlier works, a new method was developed for the computation of an arbitrary-order expansion with a normal benchmark distribution in a...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010681251