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Large deviations for the extended Heston model : the large-time case
Jacquier, Antoine; Mijatovi´c, Aleksandar - In: Asia-Pacific financial markets 21 (2014) 3, pp. 263-280
Persistent link: https://www.econbiz.de/10010511579
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Large Deviations for the Extended Heston Model: The Large-Time Case
Jacquier, Antoine; Mijatović, Aleksandar - In: Asia-Pacific Financial Markets 21 (2014) 3, pp. 263-280
We study here the large-time behaviour of all continuous affine stochastic volatility models [in the sense of Keller-Ressel (Math Finan 21(1):73–98, <CitationRef CitationID="CR14">2011</CitationRef>)] and deduce a closed-form formula for the large-maturity implied volatility smile. We concentrate on (rescaled) strikes around the money,...</citationref>
Persistent link: https://www.econbiz.de/10010989081
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Pricing options and computing implied volatilities using neural networks
Liu, Shuaiqiang; Oosterlee, Cornelis Willebrordus; … - In: Risks 7 (2019) 1, pp. 1-22
different types of solvers, including the analytic solution for the Black-Scholes equation, the COS method for the Heston …
Persistent link: https://www.econbiz.de/10013200434
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The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano; Martini, Claude - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
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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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Pricing options and computing implied volatilities using neural networks
Liu, Shuaiqiang; Oosterlee, Cornelis Willebrordus; … - In: Risks : open access journal 7 (2019) 1/16, pp. 1-22
different types of solvers, including the analytic solution for the Black-Scholes equation, the COS method for the Heston …
Persistent link: https://www.econbiz.de/10012016033
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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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THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON
MARCO, S. DE; MARTINI, C. - In: International Journal of Theoretical and Applied … 15 (2012) 04, pp. 1250026-1
matches the ATM and extreme moneyness structure. As an instance of a symmetric model, we consider uncorrelated Heston: in this …
Persistent link: https://www.econbiz.de/10010552938
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Asymptotics of implied volatility to arbitrary order
Gao, Kun; Lee, Roger - In: Finance and stochastics 18 (2014) 2, pp. 349-392
Persistent link: https://www.econbiz.de/10010340727
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Small-maturity asymptotics for the at-the-money implied volatility Slope in Lévy Models
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad - In: Applied mathematical finance 23 (2016) 1/2, pp. 135-157
Persistent link: https://www.econbiz.de/10011547000