Local Volatility, Conditioned Diffusions, and Varadhan's Formula-Reference-Cited by-同舟云学术

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Local Volatility, Conditioned Diffusions, and Varadhan's Formula

Published:2018-01 Issue:2 Volume:9 Page:835-874
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

De Marco Stefano,Friz Peter K.

Funder

Chaire Risques Financiers

Chaire Marchés en mutation

Chaire Finance et développement durable

Deutsche Forschungsgemeinschaft

H2020 European Research Council

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/16M1092313

Reference31 articles.

1. Continuity of optimal control costs and its application to weak KAM theory

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

3. General Freidlin–Wentzell Large Deviations and positive diffusions

4. Développement asymptotique du noyau de la chaleur hypoelliptique hors du cut-locus

5. Décroissance exponentielle du noyau de la chaleur sur la diagonale (II)

Cited by 4 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. Local volatility under rough volatility;Mathematical Finance;2023-05-24

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

3. A Yosida's parametrix approach to Varadhan's estimates for a degenerate diffusion under the weak Hörmander condition;Journal of Mathematical Analysis and Applications;2023-01

4. Precise asymptotics: Robust stochastic volatility models;The Annals of Applied Probability;2021-04-01

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