Similar Search Results

Narrow search

A Taylor series approach to pricing and implied volatility for local-stochastic volatility models

Loring, Matthew; Pagliarani, Stefano; Pascucci, Andrea - In: Journal of risk 17 (2014/15) 2, pp. 3-19

Persistent link: https://www.econbiz.de/10010476250

Time-changed fast mean-reverting stochastic volatility models

Lorig, Matthew - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1355-1383

Persistent link: https://www.econbiz.de/10009541992

TIME-CHANGED FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS

LORIG, MATTHEW - In: International Journal of Theoretical and Applied … 14 (2011) 08, pp. 1355-1383

We introduce a class of randomly time-changed fast mean-reverting stochastic volatility (TC-FMR-SV) models. Using spectral theory and singular perturbation techniques, we derive an approximation for the price of any European option in the TC-FMR-SV setting. Three examples of random time-changes...

Persistent link: https://www.econbiz.de/10009415372

Second order multiscale stochastic volatility asymptotics : stochastic terminal layer analysis and calibration

Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Kaushik Ronnie - In: Finance and stochastics 20 (2016) 3, pp. 543-588

Persistent link: https://www.econbiz.de/10011530043

The implied Sharpe ratio

Agarwal, Ankush; Lorig, Matthew - In: Quantitative finance 20 (2020) 6, pp. 1009-1026

Persistent link: https://www.econbiz.de/10012262655