Search Results - subject:"local-stochastic volatility"

Short-maturity options on realized variance in local-stochastic volatility models

Pirjol, Dan; Wang, Xiaoyu; Zhu, Lingjiong - In: Quantitative finance 25 (2025) 10, pp. 1557-1580

Persistent link: https://www.econbiz.de/10015534207

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://www.econbiz.de/10013491888

Pricing autocallables under local-stochastic volatility

Farkas, Walter; Ferrari, Francesco; Ulrych, Urban - In: Peter Carr Gedenkschrift : research advances in …, (pp. 329-378). 2024

Persistent link: https://www.econbiz.de/10015446999

Watanabe's expansion : a solution for the convexity conundrum

García Lorite, David; Merino, R. - In: Quantitative finance 25 (2025) 5, pp. 711-732

Persistent link: https://www.econbiz.de/10015534142

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://www.econbiz.de/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://www.econbiz.de/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://www.econbiz.de/10012543634

Indifference prices and implied volatilities

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

Persistent link: https://www.econbiz.de/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://www.econbiz.de/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://www.econbiz.de/10011765018

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