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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

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

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

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

Explicit caplet implied volatilities for quadratic term-structure models

Lorig, Matthew; Suaysom, Natchanon - In: International journal of financial engineering 11 (2024) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014521323