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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
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Options on bonds : implied volatilities from affine short-rate dynamics
Lorig, Matthew; Suaysom, Natchanon - In: Annals of finance 18 (2022) 2, pp. 183-216
Persistent link: https://www.econbiz.de/10013278980
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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
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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
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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
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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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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