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Short-dated smile under rough volatility : asymptotics and numerics
Friz, Peter K.; Gassiat, Paul; Pigato, Paolo - In: Quantitative finance 22 (2022) 3, pp. 463-480
Persistent link: https://www.econbiz.de/10013167770
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A revised option pricing formula with the underlying being banned from short selling
He, Xin-Jiang; Zhu, Song-Ping - In: Quantitative finance 20 (2020) 6, pp. 935-948
Persistent link: https://www.econbiz.de/10012262638
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Machine learning for quantitative finance : fast derivative pricing, hedging and fitting
De Spiegeleer, Jan; Madan, Dilip B.; Reyners, Sofie; … - In: Quantitative finance 18 (2018) 10, pp. 1635-1643
Persistent link: https://www.econbiz.de/10012259802
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A reduced PDE method for European option pricing under multi-scale, multi-factor stochastic volatility
Huh, Jeonggyu; Jeon, Jaegi; Kim, Jeong-Hoon; Park, Hyejin - In: Quantitative finance 19 (2019) 1, pp. 155-175
Persistent link: https://www.econbiz.de/10012194627
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Short-time near-the-money skew in rough fractional volatility models
Bayer, Christian; Friz, Peter K.; Gulisashvili, Archil; … - In: Quantitative finance 19 (2019) 5, pp. 779-798
Persistent link: https://www.econbiz.de/10012194716
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A PDE method for estimation of implied volatility
Matić, Ivan; Radoičić, Radoš; Stefanica, Dan - In: Quantitative finance 20 (2020) 3, pp. 393-408
Persistent link: https://www.econbiz.de/10012194873
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Mass at zero in the uncorrelated SABR model and implied volatility asymptotics
Gulisashvili, Archil; Horvath, Blanka Nora; Jacquier, … - In: Quantitative finance 18 (2018) 10, pp. 1753-1765
Persistent link: https://www.econbiz.de/10012261909
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Physics-informed convolutional transformer for predicting volatility surface
Kim, Soohan; Yun, Seok-Bae; Bae, Hyeong-Ohk; Lee, Muhyun; … - In: Quantitative finance 24 (2024) 2, pp. 203-220
Persistent link: https://www.econbiz.de/10014551964
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No arbitrage global parametrization for the eSSVI volatility surface
Mingone, A. - In: Quantitative finance 22 (2022) 12, pp. 2205-2217
Persistent link: https://www.econbiz.de/10013490938
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Option pricing under stochastic volatility models with latent volatility
Bégin, Jean-François; Godin, Frédéric - In: Quantitative finance 23 (2023) 7/8, pp. 1079-1097
Persistent link: https://www.econbiz.de/10014321665