The Exact Taylor Formula of the Implied Volatility

Author:

Pagliarani Stefano,Pascucci Andrea

Publisher

Elsevier BV

Reference54 articles.

1. Moment explosions in stochastic volatility models;L B G Andersen;Finance Stoch,2007

2. Asymptotics beats Monte Carlo: the case of correlated local vol baskets;C Bayer;Comm. Pure Appl. Math,2014

3. Second order expansion for implied volatility in two factor local-stochastiv volatility models and applications to the dynamic ?-Sabr model;G Ben Arous;Large Deviations and Asymptotic Methods in Finance Volume 110 of the series Springer Proceedings in Mathematics & Statistics,2015

4. Expansion formulas for European options in a local volatility model;E Benhamou;Int. J. Theor. Appl. Finance,2010

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Intrinsic expansions for averaged diffusion processes;Stochastic Processes and their Applications;2017-08

2. Option Pricing in the Moderate Deviations Regime;SSRN Electronic Journal;2016

3. Optimal Static Quadratic Hedging;SSRN Electronic Journal;2015

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