Application of large deviation methods to the pricing of index options in finance-Reference-Cited by-同舟云学术

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Application of large deviation methods to the pricing of index options in finance

Published:2003-02 Issue:3 Volume:336 Page:263-266
ISSN:1631-073X
Container-title:Comptes Rendus Mathematique
language:en
Short-container-title:Comptes Rendus Mathematique

Author:

Avellaneda Marco,Boyer-Olson Dash,Busca Jérôme,Friz Peter

Publisher

Elsevier BV

Subject

General Mathematics

Reference11 articles.

1. Reconstruction of volatility; Pricing index options using the steepest-descent approximation;Avellaneda;RISK Magazine,2002

2. An inverse parabolic problem arising in finance;Berestycki;C. R. Acad. Sci. Paris, Sér. I,2000

3. Asymptotics and calibration of local volatility models;Berestycki;Quantitative Finance,2002

4. Option prices, implied prices processes, and stochastic volatility;Britten-Jones;J. Finance,2000

5. Riding on a smile;Derman;RISK,1994

Cited by 26 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. A partial rough path space for rough volatility;Electronic Journal of Probability;2024-01-01

2. A new algorithm for computing path integrals and weak approximation of SDEs inspired by large deviations and Malliavin calculus;Applied Numerical Mathematics;2023-05

3. Reconstructing volatility: Pricing of index options under rough volatility;Mathematical Finance;2023-01

4. In memoriam: Marco Avellaneda (1955–2022);Mathematical Finance;2023-01

5. Short maturity conditional Asian options in local volatility models;Mathematics and Financial Economics;2020-01-18

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