ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS-Reference-Cited by-同舟云学术

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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

Published:2010-12-05 Issue:4 Volume:22 Page:591-620
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:

Author:

Gatheral Jim,Hsu Elton P.,Laurence Peter,Ouyang Cheng,Wang Tai-Ho

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2010.00472.x/fullpdf

Reference32 articles.

1. Andersen , L. R. Brotherton-Ratcliffe 2001 Extended LIBOR Market Models with Stochastic Volatility

2. Andersen , L. B. G. 2008 Option Pricing with Quadratic Volatility: A Revisit

3. Reconstructing Volatility;Avellaneda;Risk Mag.,2002

4. Asymptotics and Calibration of Local Volatility Models;Berestycki;Quantit. Finance,2002

5. Computing the Implied Volatility in Stochastic Volatility Models;Berestycki;Commun. Pure Appl. Math.,2004

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4. MARKOVIAN STOCHASTIC VOLATILITY WITH STOCHASTIC CORRELATION — JOINT CALIBRATION AND CONSISTENCY OF SPX/VIX SHORT-MATURITY SMILES;International Journal of Theoretical and Applied Finance;2023-05

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