Add to ORKGWe present a simplified approach to the analytical approximation of the transition density related to a general local volatility model. The methodology is sufficiently flexible to be extended to time-dependent coefficients, multi-dimensional stochastic volatility models, degenerate parabolic PDEs related to Asian options and also to include jumps
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
In my work I derive closed-form pricing formulas for volatility based options by suitably approximat...
We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic vo...
We present a simplified approach to the analytical approximation of the transition density related ...
We present a simplified approach to the analytical approximation of the transition density related t...
International audienceFor general time-dependent local volatility models, we propose new approximati...
We propose a novel method for the analytical approximation in local volatility models with Lèvy jump...
We propose a novel method for the analytical approximation in local volatility models with Lèvy jump...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
AbstractWe consider a stochastic volatility model with Lévy jumps for a log-return process Z=(Zt)t≥0...
[eng] In this thesis, an option price decomposition for local and stochastic volatility jump diffusi...
AbstractWe develop approximate formulae expressed in terms of elementary functions for the density, ...
We present new approximation formulas for local stochastic volatility models, possibly including L\u...
We develop approximate formulae expressed in terms of elementary functions for the density, the pric...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
In my work I derive closed-form pricing formulas for volatility based options by suitably approximat...
We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic vo...
We present a simplified approach to the analytical approximation of the transition density related ...
We present a simplified approach to the analytical approximation of the transition density related t...
International audienceFor general time-dependent local volatility models, we propose new approximati...
We propose a novel method for the analytical approximation in local volatility models with Lèvy jump...
We propose a novel method for the analytical approximation in local volatility models with Lèvy jump...
This paper derives asymptotic expansion formulas for option prices and implied volatilities as well ...
AbstractWe consider a stochastic volatility model with Lévy jumps for a log-return process Z=(Zt)t≥0...
[eng] In this thesis, an option price decomposition for local and stochastic volatility jump diffusi...
AbstractWe develop approximate formulae expressed in terms of elementary functions for the density, ...
We present new approximation formulas for local stochastic volatility models, possibly including L\u...
We develop approximate formulae expressed in terms of elementary functions for the density, the pric...
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential ...
In my work I derive closed-form pricing formulas for volatility based options by suitably approximat...
We introduce an asymptotic expansion for forward start options in a multi-factor local-stochastic vo...