Aït-Sahalia, Yacine; Li, Chenxu; Li, Chen Xu Closed-form implied volatility surfaces for stochastic volatility models with jumps. (English) Zbl 07327199 J. Econom. 222, No. 1, 364-392 (2021). MSC: 62 91 PDF BibTeX XML Cite \textit{Y. Aït-Sahalia} et al., J. Econom. 222, No. 1, 364--392 (2021; Zbl 07327199) Full Text: DOI
Orlando, Giuseppe; Taglialatela, Giovanni On the approximation of the Black and Scholes call function. (English) Zbl 07305055 J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021). MSC: 65-02 91G20 91G60 PDF BibTeX XML Cite \textit{G. Orlando} and \textit{G. Taglialatela}, J. Comput. Appl. Math. 384, Article ID 113154, 14 p. (2021; Zbl 07305055) Full Text: DOI
Li, Jianping; Yao, Yanzhen; Chen, Yibing; Lee, Cheng Few Option price and stock market momentum in China. (English) Zbl 1454.91301 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619-3647 (2021). MSC: 91G20 91G15 PDF BibTeX XML Cite \textit{J. Li} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 4. Hackensack, NJ: World Scientific. 3619--3647 (2021; Zbl 1454.91301) Full Text: DOI
Chow, K. Victor; Jiang, Wanjun; Li, Jingrui Does VIX truly measure return volatility? (English) Zbl 1454.91282 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1533-1559 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{K. V. Chow} et al., in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1533--1559 (2021; Zbl 1454.91282) Full Text: DOI
Han, Chuan-Hsiang GPU acceleration for computational finance. (English) Zbl 1454.91360 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1519-1532 (2021). MSC: 91G60 91G15 91-08 PDF BibTeX XML Cite \textit{C.-H. Han}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1519--1532 (2021; Zbl 1454.91360) Full Text: DOI
Diavatopoulos, Dean; Sokolinskiy, Oleg Stochastic volatility models: faking a smile. (English) Zbl 1454.91286 Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271-1293 (2021). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{D. Diavatopoulos} and \textit{O. Sokolinskiy}, in: Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 2. Hackensack, NJ: World Scientific. 1271--1293 (2021; Zbl 1454.91286) Full Text: DOI
Zhao, Xiaoyin; Yang, Liu Reconstructing implied volatility based on mean-reverting price processes. (English) Zbl 07295154 J. Anhui Norm. Univ., Nat. Sci. 43, No. 4, 329-337 (2020). MSC: 91G20 93E20 91G80 PDF BibTeX XML Cite \textit{X. Zhao} and \textit{L. Yang}, J. Anhui Norm. Univ., Nat. Sci. 43, No. 4, 329--337 (2020; Zbl 07295154) Full Text: DOI
Saratha, S. R.; Sai Sundara Krishnan, G.; Bagyalakshmi, M.; Lim, Chee Peng Solving Black-Scholes equations using fractional generalized homotopy analysis method. (English) Zbl 07291007 Comput. Appl. Math. 39, No. 4, Paper No. 262, 35 p. (2020). MSC: 65H20 35G31 35C10 26A33 34A08 35R11 PDF BibTeX XML Cite \textit{S. R. Saratha} et al., Comput. Appl. Math. 39, No. 4, Paper No. 262, 35 p. (2020; Zbl 07291007) Full Text: DOI
Ahn, Dohyun; Kim, Kyoung-Kuk; Kim, Younghoon Small-time smile for the multifactor volatility Heston model. (English) Zbl 1454.91311 J. Appl. Probab. 57, No. 4, 1070-1087 (2020). Reviewer: George Stoica (Saint John) MSC: 91G30 41A60 60F10 91G60 PDF BibTeX XML Cite \textit{D. Ahn} et al., J. Appl. Probab. 57, No. 4, 1070--1087 (2020; Zbl 1454.91311) Full Text: DOI
Kettani, Othmane; Reghai, Adil Financial models in production. (English) Zbl 07261259 SpringerBriefs in Finance. Cham: Springer (ISBN 978-3-030-57495-6/pbk; 978-3-030-57496-3/ebook). xiv, 61 p. (2020). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91B38 91G20 91G30 PDF BibTeX XML Cite \textit{O. Kettani} and \textit{A. Reghai}, Financial models in production. Cham: Springer (2020; Zbl 07261259) Full Text: DOI
Grishenko, Olesya; Han, Xiao; Nistor, Victor A volatility-of-volatility expansion of the option prices in the SABR stochastic volatility model. (English) Zbl 1441.91075 Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050018, 49 p. (2020). MSC: 91G20 91G80 35K08 41A60 PDF BibTeX XML Cite \textit{O. Grishenko} et al., Int. J. Theor. Appl. Finance 23, No. 3, Article ID 2050018, 49 p. (2020; Zbl 1441.91075) Full Text: DOI
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin Small-time asymptotics for Gaussian self-similar stochastic volatility models. (English) Zbl 07222163 Appl. Math. Optim. 82, No. 1, 183-223 (2020). MSC: 60G15 91G20 PDF BibTeX XML Cite \textit{A. Gulisashvili} et al., Appl. Math. Optim. 82, No. 1, 183--223 (2020; Zbl 07222163) Full Text: DOI
Jacquier, Antoine; Shi, Fangwei Small-time moderate deviations for the randomised Heston model. (English) Zbl 1434.60091 J. Appl. Probab. 57, No. 1, 19-28 (2020). MSC: 60F10 91G20 91B70 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{F. Shi}, J. Appl. Probab. 57, No. 1, 19--28 (2020; Zbl 1434.60091) Full Text: DOI
Gulisashvili, Archil Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions. (English) Zbl 1434.60089 Stochastic Processes Appl. 130, No. 6, 3648-3686 (2020). MSC: 60F10 60G15 91G20 60G18 60G22 41A60 PDF BibTeX XML Cite \textit{A. Gulisashvili}, Stochastic Processes Appl. 130, No. 6, 3648--3686 (2020; Zbl 1434.60089) Full Text: DOI
Tehranchi, Michael R. A Black-Scholes inequality: applications and generalisations. (English) Zbl 1432.91126 Finance Stoch. 24, No. 1, 1-38 (2020). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 60G44 91G80 PDF BibTeX XML Cite \textit{M. R. Tehranchi}, Finance Stoch. 24, No. 1, 1--38 (2020; Zbl 1432.91126) Full Text: DOI
Yafeng, Shi; Shi, Yanlong; Xun, Peng; Nenghui, Zhu; Tingting, Ying; Ju, Yan Comparing and combining realized measure and implied volatility for volatility prediction. (English) Zbl 07292288 Int. J. Inf. Manage. Sci. 30, No. 4, 283-304 (2019). MSC: 62M20 62M10 62P05 PDF BibTeX XML Cite \textit{S. Yafeng} et al., Int. J. Inf. Manage. Sci. 30, No. 4, 283--304 (2019; Zbl 07292288) Full Text: DOI
Jaber, Eduardo Abi Lifting the Heston model. (English) Zbl 1441.91093 Quant. Finance 19, No. 12, 1995-2013 (2019). MSC: 91G99 91B70 PDF BibTeX XML Cite \textit{E. A. Jaber}, Quant. Finance 19, No. 12, 1995--2013 (2019; Zbl 1441.91093) Full Text: DOI
Alfonsi, Aurélien; Krief, David; Tankov, Peter Long-time large deviations for the multiasset Wishart stochastic volatility model and option pricing. (English) Zbl 1433.91166 SIAM J. Financ. Math. 10, No. 4, 942-976 (2019). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 60F10 PDF BibTeX XML Cite \textit{A. Alfonsi} et al., SIAM J. Financ. Math. 10, No. 4, 942--976 (2019; Zbl 1433.91166) Full Text: DOI Link
Le Floc’h, Fabien; Oosterlee, Cornelis W. Model-free stochastic collocation for an arbitrage-free implied volatility. I. (English) Zbl 1431.91400 Decis. Econ. Finance 42, No. 2, 679-714 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{F. Le Floc'h} and \textit{C. W. Oosterlee}, Decis. Econ. Finance 42, No. 2, 679--714 (2019; Zbl 1431.91400) Full Text: DOI
Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. Market implied volatilities for defaultable bonds. (English) Zbl 1426.91277 Ann. Oper. Res. 275, No. 2, 669-683 (2019). MSC: 91G20 91G40 91G30 PDF BibTeX XML Cite \textit{V. Russo} et al., Ann. Oper. Res. 275, No. 2, 669--683 (2019; Zbl 1426.91277) Full Text: DOI
Fanelli, Viviana; Schmeck, Maren Diane On the seasonality in the implied volatility of electricity options. (English) Zbl 1420.91459 Quant. Finance 19, No. 8, 1321-1337 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{V. Fanelli} and \textit{M. D. Schmeck}, Quant. Finance 19, No. 8, 1321--1337 (2019; Zbl 1420.91459) Full Text: DOI
Beer, S.; Fink, H. Dynamics of foreign exchange implied volatility and implied correlation surfaces. (English) Zbl 1420.91447 Quant. Finance 19, No. 8, 1293-1320 (2019). MSC: 91G20 PDF BibTeX XML Cite \textit{S. Beer} and \textit{H. Fink}, Quant. Finance 19, No. 8, 1293--1320 (2019; Zbl 1420.91447) Full Text: DOI
Pigato, Paolo Extreme at-the-money skew in a local volatility model. (English) Zbl 1427.91279 Finance Stoch. 23, No. 4, 827-859 (2019). Reviewer: Piotr Jaworski (Warszawa) MSC: 91G20 60H10 91G80 PDF BibTeX XML Cite \textit{P. Pigato}, Finance Stoch. 23, No. 4, 827--859 (2019; Zbl 1427.91279) Full Text: DOI
Horvath, Blanka; Jacquier, Antoine; Lacombe, Chloé Asymptotic behaviour of randomised fractional volatility models. (English) Zbl 07087504 J. Appl. Probab. 56, No. 2, 496-523 (2019). MSC: 41A60 60F10 60G15 60G22 PDF BibTeX XML Cite \textit{B. Horvath} et al., J. Appl. Probab. 56, No. 2, 496--523 (2019; Zbl 07087504) Full Text: DOI
El Euch, Omar; Fukasawa, Masaaki; Gatheral, Jim; Rosenbaum, Mathieu Short-term at-the-money asymptotics under stochastic volatility models. (English) Zbl 1417.91495 SIAM J. Financ. Math. 10, No. 2, 491-511 (2019). MSC: 91G20 41A60 PDF BibTeX XML Cite \textit{O. El Euch} et al., SIAM J. Financ. Math. 10, No. 2, 491--511 (2019; Zbl 1417.91495) Full Text: DOI arXiv
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin Extreme-strike asymptotics for general Gaussian stochastic volatility models. (English) Zbl 1410.91450 Ann. Finance 15, No. 1, 59-101 (2019). MSC: 91G20 60G15 PDF BibTeX XML Cite \textit{A. Gulisashvili} et al., Ann. Finance 15, No. 1, 59--101 (2019; Zbl 1410.91450) Full Text: DOI
Lu, Shan Testing the predictive ability of corridor implied volatility under GARCH models. (English) Zbl 1418.62509 Asia-Pac. Financ. Mark. 26, No. 2, 129-168 (2019). MSC: 62P20 62M10 62P05 PDF BibTeX XML Cite \textit{S. Lu}, Asia-Pac. Financ. Mark. 26, No. 2, 129--168 (2019; Zbl 1418.62509) Full Text: DOI
Jacquier, Antoine; Shi, Fangwei The randomized Heston model. (English) Zbl 1411.91562 SIAM J. Financ. Math. 10, No. 1, 89-129 (2019). MSC: 91G20 60F10 91B70 91G60 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{F. Shi}, SIAM J. Financ. Math. 10, No. 1, 89--129 (2019; Zbl 1411.91562) Full Text: DOI
Suárez-Taboada, María; Witteveen, Jeroen A. S.; Grzelak, Lech A.; Oosterlee, Cornelis W. Uncertainty quantification and Heston model. (English) Zbl 1418.91603 J. Math. Ind. 8, Paper No. 5, 12 p. (2018). MSC: 91G60 65N35 91B70 91G20 PDF BibTeX XML Cite \textit{M. Suárez-Taboada} et al., J. Math. Ind. 8, Paper No. 5, 12 p. (2018; Zbl 1418.91603) Full Text: DOI
McCrickerd, Ryan; Pakkanen, Mikko S. Turbocharging Monte Carlo pricing for the rough Bergomi model. (English) Zbl 1406.91486 Quant. Finance 18, No. 11, 1877-1886 (2018). MSC: 91G60 91G20 65C05 PDF BibTeX XML Cite \textit{R. McCrickerd} and \textit{M. S. Pakkanen}, Quant. Finance 18, No. 11, 1877--1886 (2018; Zbl 1406.91486) Full Text: DOI
Bellini, Fabio; Mercuri, Lorenzo; Rroji, Edit Implicit expectiles and measures of implied volatility. (English) Zbl 1406.91433 Quant. Finance 18, No. 11, 1851-1864 (2018). MSC: 91G20 62P05 62M10 PDF BibTeX XML Cite \textit{F. Bellini} et al., Quant. Finance 18, No. 11, 1851--1864 (2018; Zbl 1406.91433) Full Text: DOI
Yang, Nian; Wan, Xiangwei The survival probability of the SABR model: asymptotics and application. (English) Zbl 1406.91495 Quant. Finance 18, No. 10, 1767-1779 (2018). MSC: 91G70 PDF BibTeX XML Cite \textit{N. Yang} and \textit{X. Wan}, Quant. Finance 18, No. 10, 1767--1779 (2018; Zbl 1406.91495) Full Text: DOI
Gulisashvili, Archil; Horvath, Blanka; Jacquier, Antoine Mass at zero in the uncorrelated SABR model and implied volatility asymptotics. (English) Zbl 1406.91463 Quant. Finance 18, No. 10, 1753-1765 (2018). MSC: 91G30 60H10 60H30 91G99 91G60 PDF BibTeX XML Cite \textit{A. Gulisashvili} et al., Quant. Finance 18, No. 10, 1753--1765 (2018; Zbl 1406.91463) Full Text: DOI arXiv
Merino, R.; Pospíšil, J.; Sobotka, T.; Vives, J. Decomposition formula for jump diffusion models. (English) Zbl 1419.91652 Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850052, 36 p. (2018). MSC: 91G60 65D15 91G20 60J75 PDF BibTeX XML Cite \textit{R. Merino} et al., Int. J. Theor. Appl. Finance 21, No. 8, Article ID 1850052, 36 p. (2018; Zbl 1419.91652) Full Text: DOI
Salazar Celis, Oliver A parametrized barycentric approximation for inverse problems with application to the Black-Scholes formula. (English) Zbl 06983837 IMA J. Numer. Anal. 38, No. 2, 976-997 (2018). MSC: 65 PDF BibTeX XML Cite \textit{O. Salazar Celis}, IMA J. Numer. Anal. 38, No. 2, 976--997 (2018; Zbl 06983837) Full Text: DOI
de Marco, Stefano; Martini, Claude Moment generating functions and normalized implied volatilities: unification and extension via Fukasawa’s pricing formula. (English) Zbl 1400.91628 Quant. Finance 18, No. 4, 609-622 (2018). MSC: 91G20 PDF BibTeX XML Cite \textit{S. de Marco} and \textit{C. Martini}, Quant. Finance 18, No. 4, 609--622 (2018; Zbl 1400.91628) Full Text: DOI
Gulisashvili, Archil Large deviation principle for Volterra type fractional stochastic volatility models. (English) Zbl 1416.91376 SIAM J. Financ. Math. 9, No. 3, 1102-1136 (2018). MSC: 91G20 60F10 60G15 60G18 60G22 PDF BibTeX XML Cite \textit{A. Gulisashvili}, SIAM J. Financ. Math. 9, No. 3, 1102--1136 (2018; Zbl 1416.91376) Full Text: DOI
Guennoun, Hamza; Jacquier, Antoine; Roome, Patrick; Shi, Fangwei Asymptotic behavior of the fractional Heston model. (English) Zbl 1416.91375 SIAM J. Financ. Math. 9, No. 3, 1017-1045 (2018). MSC: 91G20 60G22 91B70 60H30 PDF BibTeX XML Cite \textit{H. Guennoun} et al., SIAM J. Financ. Math. 9, No. 3, 1017--1045 (2018; Zbl 1416.91375) Full Text: DOI
Driouchi, Tarik; Trigeorgis, Lenos; So, Raymond H. Y. Option implied ambiguity and its information content: evidence from the subprime crisis. (English) Zbl 1416.91372 Ann. Oper. Res. 262, No. 2, 463-491 (2018). MSC: 91G20 91B16 PDF BibTeX XML Cite \textit{T. Driouchi} et al., Ann. Oper. Res. 262, No. 2, 463--491 (2018; Zbl 1416.91372) Full Text: DOI
Zhuang, Ying; Wu, Xiaoyan; Wang, Meiqing Time index extension of the SVI implied volatility model. (Chinese. English summary) Zbl 1413.91116 J. Fuzhou Univ., Nat. Sci. 46, No. 2, 169-177 (2018). MSC: 91G20 PDF BibTeX XML Cite \textit{Y. Zhuang} et al., J. Fuzhou Univ., Nat. Sci. 46, No. 2, 169--177 (2018; Zbl 1413.91116) Full Text: DOI
Dai, Xiuju; Shu, Zhibiao Implied volatility forecast based on nonparametric regression model. (Chinese. English summary) Zbl 1413.91097 J. Fuzhou Univ., Nat. Sci. 46, No. 2, 156-162 (2018). MSC: 91G20 62P05 62M20 62G08 PDF BibTeX XML Cite \textit{X. Dai} and \textit{Z. Shu}, J. Fuzhou Univ., Nat. Sci. 46, No. 2, 156--162 (2018; Zbl 1413.91097) Full Text: DOI
Choi, Ji-Eun; Shin, Dong Wan Forecasts for leverage heterogeneous autoregressive models with jumps and other covariates. (English) Zbl 1397.62407 J. Forecast. 37, No. 6, 691-704 (2018). MSC: 62P05 62M10 PDF BibTeX XML Cite \textit{J.-E. Choi} and \textit{D. W. Shin}, J. Forecast. 37, No. 6, 691--704 (2018; Zbl 1397.62407) Full Text: DOI
Friz, Peter; Gerhold, Stefan; Pinter, Arpad Option pricing in the moderate deviations regime. (English) Zbl 1411.91554 Math. Finance 28, No. 3, 962-988 (2018). MSC: 91G20 62E20 62P05 PDF BibTeX XML Cite \textit{P. Friz} et al., Math. Finance 28, No. 3, 962--988 (2018; Zbl 1411.91554) Full Text: DOI arXiv
Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. Local volatility and the recovery rate of credit default swaps. (English) Zbl 1401.91547 J. Econ. Dyn. Control 92, 1-29 (2018). MSC: 91G40 91G20 PDF BibTeX XML Cite \textit{J. Jansen} et al., J. Econ. Dyn. Control 92, 1--29 (2018; Zbl 1401.91547) Full Text: DOI
Branger, Nicole; Rodrigues, Paulo; Schlag, Christian Level and slope of volatility smiles in long-run risk models. (English) Zbl 1401.91557 J. Econ. Dyn. Control 86, 95-122 (2018). MSC: 91G70 91G20 PDF BibTeX XML Cite \textit{N. Branger} et al., J. Econ. Dyn. Control 86, 95--122 (2018; Zbl 1401.91557) Full Text: DOI
Hackmann, Daniel Analytic techniques for option pricing under a hyperexponential Lévy model. (English) Zbl 1422.91699 J. Comput. Appl. Math. 342, 225-248 (2018). MSC: 91G20 60G51 41A60 PDF BibTeX XML Cite \textit{D. Hackmann}, J. Comput. Appl. Math. 342, 225--248 (2018; Zbl 1422.91699) Full Text: DOI
Figueroa-López, José E.; Gong, Ruoting; Lorig, Matthew Short-time expansions for call options on leveraged ETFs under exponential Lévy models with local volatility. (English) Zbl 1408.91213 SIAM J. Financ. Math. 9, No. 1, 347-380 (2018). MSC: 91G20 60J75 60G51 41A60 PDF BibTeX XML Cite \textit{J. E. Figueroa-López} et al., SIAM J. Financ. Math. 9, No. 1, 347--380 (2018; Zbl 1408.91213) Full Text: DOI
Jacquier, Antoine; Keller-Ressel, Martin Implied volatility in strict local martingale models. (English) Zbl 1408.91239 SIAM J. Financ. Math. 9, No. 1, 171-189 (2018). MSC: 91G70 91G20 60G48 41A60 PDF BibTeX XML Cite \textit{A. Jacquier} and \textit{M. Keller-Ressel}, SIAM J. Financ. Math. 9, No. 1, 171--189 (2018; Zbl 1408.91239) Full Text: DOI arXiv
Lorig, Matthew Indifference prices and implied volatilities. (English) Zbl 1403.91347 Math. Finance 28, No. 1, 372-408 (2018). MSC: 91G20 35C20 PDF BibTeX XML Cite \textit{M. Lorig}, Math. Finance 28, No. 1, 372--408 (2018; Zbl 1403.91347) Full Text: DOI
De Olivera, Federico; Fajardo, José; Mordecki, Ernesto Skewed Lévy models and implied volatility skew. (English) Zbl 1395.91437 Int. J. Theor. Appl. Finance 21, No. 2, Article ID 1850003, 16 p. (2018). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{F. De Olivera} et al., Int. J. Theor. Appl. Finance 21, No. 2, Article ID 1850003, 16 p. (2018; Zbl 1395.91437) Full Text: DOI
Caravenna, Francesco; Corbetta, Jacopo The asymptotic smile of a multiscaling stochastic volatility model. (English) Zbl 1390.60099 Stochastic Processes Appl. 128, No. 3, 1034-1071 (2018). MSC: 60F10 91B25 60G44 PDF BibTeX XML Cite \textit{F. Caravenna} and \textit{J. Corbetta}, Stochastic Processes Appl. 128, No. 3, 1034--1071 (2018; Zbl 1390.60099) Full Text: DOI arXiv
Guo, Zhidong Option pricing under the Merton model of the short rate in subdiffusive Brownian motion regime. (English) Zbl 07191953 J. Stat. Comput. Simulation 87, No. 3, 519-529 (2017). MSC: 62 PDF BibTeX XML Cite \textit{Z. Guo}, J. Stat. Comput. Simulation 87, No. 3, 519--529 (2017; Zbl 07191953) Full Text: DOI
Zhao, Fangfang; Xu, Zuoliang Recover implied volatility in short-term interest rate model. (English) Zbl 1424.91153 Chin. Q. J. Math. 32, No. 4, 395-406 (2017). MSC: 91G30 45Q05 PDF BibTeX XML Cite \textit{F. Zhao} and \textit{Z. Xu}, Chin. Q. J. Math. 32, No. 4, 395--406 (2017; Zbl 1424.91153) Full Text: DOI
Choi, Hoyong; Mueller, Philippe; Vedolin, Andrea Bond variance risk premiums. (English) Zbl 1402.91763 Rev. Finance 21, No. 3, 987-1022 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{H. Choi} et al., Rev. Finance 21, No. 3, 987--1022 (2017; Zbl 1402.91763) Full Text: DOI
Leisen, Dietmar P. J. The shape of small sample biases in pricing kernel estimations. (English) Zbl 1406.62121 Quant. Finance 17, No. 6, 943-958 (2017). MSC: 62P05 62G07 62M10 PDF BibTeX XML Cite \textit{D. P. J. Leisen}, Quant. Finance 17, No. 6, 943--958 (2017; Zbl 1406.62121) Full Text: DOI
Fukasawa, Masaaki Short-time at-the-money skew and rough fractional volatility. (English) Zbl 1402.91777 Quant. Finance 17, No. 2, 189-198 (2017). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{M. Fukasawa}, Quant. Finance 17, No. 2, 189--198 (2017; Zbl 1402.91777) Full Text: DOI
Jacquier, Antoine; Martini, Claude; Muguruza, Aitor On VIX futures in the rough Bergomi model. (English) Zbl 1400.91596 Quant. Finance 17, No. 12, 45-61 (2017). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{A. Jacquier} et al., Quant. Finance 17, No. 12, 45--61 (2017; Zbl 1400.91596) Full Text: DOI
Wang, Xiao-Tian; Li, Zhe; Zhuang, Le European option pricing under the Student’s \(t\) noise with jumps. (English) Zbl 1400.91619 Physica A 469, 848-858 (2017). MSC: 91G20 91G70 91G60 PDF BibTeX XML Cite \textit{X.-T. Wang} et al., Physica A 469, 848--858 (2017; Zbl 1400.91619) Full Text: DOI
Chance, Don M.; Hanson, Thomas A.; Li, Weiping; Muthuswamy, Jayaram A bias in the volatility smile. (English) Zbl 1417.91494 Rev. Deriv. Res. 20, No. 1, 47-90 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{D. M. Chance} et al., Rev. Deriv. Res. 20, No. 1, 47--90 (2017; Zbl 1417.91494) Full Text: DOI
Feunou, Bruno; Fontaine, Jean-Sébastien; Tédongap, Roméo Implied volatility and skewness surface. (English) Zbl 1404.62104 Rev. Deriv. Res. 20, No. 2, 167-202 (2017). MSC: 62P05 91G20 62G08 PDF BibTeX XML Cite \textit{B. Feunou} et al., Rev. Deriv. Res. 20, No. 2, 167--202 (2017; Zbl 1404.62104) Full Text: DOI
Kopa, Miloš; Vitali, Sebastiano; Tichý, Tomáš; Hendrych, Radek Implied volatility and state price density estimation: arbitrage analysis. (English) Zbl 1416.91378 Comput. Manag. Sci. 14, No. 4, 559-583 (2017). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{M. Kopa} et al., Comput. Manag. Sci. 14, No. 4, 559--583 (2017; Zbl 1416.91378) Full Text: DOI Link
Grobys, Klaus; Heinonen, Jari-Pekka Option-implied volatility spillover indices for FX risk factors. (English) Zbl 1398.91595 Econ. Lett. 157, 83-87 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{K. Grobys} and \textit{J.-P. Heinonen}, Econ. Lett. 157, 83--87 (2017; Zbl 1398.91595) Full Text: DOI
Su, Zhi; Fang, Tong; Yin, Libo The role of news-based implied volatility among US financial markets. (English) Zbl 1398.62326 Econ. Lett. 157, 24-27 (2017). MSC: 62P05 62M20 PDF BibTeX XML Cite \textit{Z. Su} et al., Econ. Lett. 157, 24--27 (2017; Zbl 1398.62326) Full Text: DOI
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian Third-order short-time expansions for close-to-the-money option prices under the CGMY model. (English) Zbl 1398.91586 Appl. Math. Finance 24, No. 5-6, 547-574 (2017). MSC: 91G20 60G51 62F12 62P05 PDF BibTeX XML Cite \textit{J. E. Figueroa-López} et al., Appl. Math. Finance 24, No. 5--6, 547--574 (2017; Zbl 1398.91586) Full Text: DOI
Goutte, Stéphane; Ismail, Amine; Pham, Huyên Regime-switching stochastic volatility model: estimation and calibration to VIX options. (English) Zbl 1398.91593 Appl. Math. Finance 24, No. 1-2, 38-75 (2017). MSC: 91G20 62P05 62M20 91G60 PDF BibTeX XML Cite \textit{S. Goutte} et al., Appl. Math. Finance 24, No. 1--2, 38--75 (2017; Zbl 1398.91593) Full Text: DOI
De Marco, S.; Hillairet, C.; Jacquier, A. Shapes of implied volatility with positive mass at zero. (English) Zbl 1407.91246 SIAM J. Financ. Math. 8, 709-737 (2017). MSC: 91G20 65C50 62G32 91G60 62P05 PDF BibTeX XML Cite \textit{S. De Marco} et al., SIAM J. Financ. Math. 8, 709--737 (2017; Zbl 1407.91246) Full Text: DOI
Garnier, Josselin; Sølna, Knut Correction to Black-Scholes formula due to fractional stochastic volatility. (English) Zbl 1407.91290 SIAM J. Financ. Math. 8, 560-588 (2017). MSC: 91G80 60H10 60G22 60K37 PDF BibTeX XML Cite \textit{J. Garnier} and \textit{K. Sølna}, SIAM J. Financ. Math. 8, 560--588 (2017; Zbl 1407.91290) Full Text: DOI
Li, T. Ray; Rodrigo, Marianito R. Alternative results for option pricing and implied volatility in jump-diffusion models using Mellin transforms. (English) Zbl 1378.91121 Eur. J. Appl. Math. 28, No. 5, 789-826 (2017). MSC: 91G20 44A15 PDF BibTeX XML Cite \textit{T. R. Li} and \textit{M. R. Rodrigo}, Eur. J. Appl. Math. 28, No. 5, 789--826 (2017; Zbl 1378.91121) Full Text: DOI
Cui, Zhenyu; Kirkby, J. Lars; Lian, Guanghua; Nguyen, Duy Integral representation of probability density of stochastic volatility models and timer options. (English) Zbl 1395.91436 Int. J. Theor. Appl. Finance 20, No. 8, Article ID 1750055, 32 p. (2017). MSC: 91G20 60H10 62P05 PDF BibTeX XML Cite \textit{Z. Cui} et al., Int. J. Theor. Appl. Finance 20, No. 8, Article ID 1750055, 32 p. (2017; Zbl 1395.91436) Full Text: DOI
Han, Chuan-Hsiang; Kuo, Chien-Liang Monte Carlo calibration to implied volatility surface under volatility models. (English) Zbl 1411.91621 Japan J. Ind. Appl. Math. 34, No. 3, 763-778 (2017). MSC: 91G60 65C05 91G20 PDF BibTeX XML Cite \textit{C.-H. Han} and \textit{C.-L. Kuo}, Japan J. Ind. Appl. Math. 34, No. 3, 763--778 (2017; Zbl 1411.91621) Full Text: DOI
Mostafa, Fahed; Dillon, Tharam; Chang, Elizabeth Computational intelligence applications to option pricing, volatility forecasting and value at risk. (English) Zbl 1410.91004 Studies in Computational Intelligence 697. Cham: Springer (ISBN 978-3-319-51666-0/hbk; 978-3-319-51668-4/ebook). x, 171 p. (2017). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91-02 91-04 91G20 62P05 62M10 91G70 91G10 PDF BibTeX XML Cite \textit{F. Mostafa} et al., Computational intelligence applications to option pricing, volatility forecasting and value at risk. Cham: Springer (2017; Zbl 1410.91004) Full Text: DOI
Stefanica, Dan; Radoičić, Radoš An explicit implied volatility formula. (English) Zbl 1415.91290 Int. J. Theor. Appl. Finance 20, No. 7, Article ID 1750048, 32 p. (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{D. Stefanica} and \textit{R. Radoičić}, Int. J. Theor. Appl. Finance 20, No. 7, Article ID 1750048, 32 p. (2017; Zbl 1415.91290) Full Text: DOI
Wang, Xiao-Tian; Li, Zhe; Zhuang, Le Risk preference, option pricing and portfolio hedging with proportional transaction costs. (English) Zbl 1375.91230 Chaos Solitons Fractals 95, 111-130 (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{X.-T. Wang} et al., Chaos Solitons Fractals 95, 111--130 (2017; Zbl 1375.91230) Full Text: DOI
Leung, Tim; Lorig, Matthew; Pascucci, Andrea Leveraged ETF implied volatilities from ETF dynamics. (English) Zbl 1411.91572 Math. Finance 27, No. 4, 1035-1068 (2017). MSC: 91G20 60H30 PDF BibTeX XML Cite \textit{T. Leung} et al., Math. Finance 27, No. 4, 1035--1068 (2017; Zbl 1411.91572) Full Text: DOI
Herrmann, Sebastian; Muhle-Karbe, Johannes Model uncertainty, recalibration, and the emergence of delta-vega hedging. (English) Zbl 1390.91300 Finance Stoch. 21, No. 4, 873-930 (2017). Reviewer: Tamás Mátrai (Budapest) MSC: 91G20 91A15 91B16 93E20 PDF BibTeX XML Cite \textit{S. Herrmann} and \textit{J. Muhle-Karbe}, Finance Stoch. 21, No. 4, 873--930 (2017; Zbl 1390.91300) Full Text: DOI arXiv
Gatheral, Jim; Matić, Ivan; Radoičić, Radoš; Stefanica, Dan Tighter bounds for implied volatility. (English) Zbl 1396.91729 Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750035, 14 p. (2017). MSC: 91G20 PDF BibTeX XML Cite \textit{J. Gatheral} et al., Int. J. Theor. Appl. Finance 20, No. 5, Article ID 1750035, 14 p. (2017; Zbl 1396.91729) Full Text: DOI
Orlando, Giuseppe; Taglialatela, Giovanni A review on implied volatility calculation. (English) Zbl 1371.91181 J. Comput. Appl. Math. 320, 202-220 (2017). MSC: 91G20 91G60 65H05 PDF BibTeX XML Cite \textit{G. Orlando} and \textit{G. Taglialatela}, J. Comput. Appl. Math. 320, 202--220 (2017; Zbl 1371.91181) Full Text: DOI
Lok, U Hou; Lyuu, Yuh-Dauh The waterline tree for separable local-volatility models. (English) Zbl 1405.91639 Comput. Math. Appl. 73, No. 4, 537-559 (2017). MSC: 91G20 37C25 05C05 PDF BibTeX XML Cite \textit{U H. Lok} and \textit{Y.-D. Lyuu}, Comput. Math. Appl. 73, No. 4, 537--559 (2017; Zbl 1405.91639) Full Text: DOI
Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea Explicit implied volatilities for multifactor local-stochastic volatility models. (English) Zbl 1422.91713 Math. Finance 27, No. 3, 926-960 (2017). Reviewer: Gianluca Cassese (Milano) MSC: 91G20 91B70 41A60 PDF BibTeX XML Cite \textit{M. Lorig} et al., Math. Finance 27, No. 3, 926--960 (2017; Zbl 1422.91713) Full Text: DOI
Pagliarani, Stefano; Pascucci, Andrea The exact Taylor formula of the implied volatility. (English) Zbl 1414.91385 Finance Stoch. 21, No. 3, 661-718 (2017). Reviewer: Martynas Manstavičius (Vilnius) MSC: 91G20 60J60 60J70 PDF BibTeX XML Cite \textit{S. Pagliarani} and \textit{A. Pascucci}, Finance Stoch. 21, No. 3, 661--718 (2017; Zbl 1414.91385) Full Text: DOI
Carmona, Rene; Ma, Yi; Nadtochiy, Sergey Simulation of implied volatility surfaces via tangent Lévy models. (English) Zbl 1410.91478 SIAM J. Financ. Math. 8, 171-213 (2017). MSC: 91G60 91G20 91G70 91G10 65C05 60G51 PDF BibTeX XML Cite \textit{R. Carmona} et al., SIAM J. Financ. Math. 8, 171--213 (2017; Zbl 1410.91478) Full Text: DOI
Funahashi, Hideharu; Kijima, Masaaki Does the Hurst index matter for option prices under fractional volatility? (English) Zbl 1398.91588 Ann. Finance 13, No. 1, 55-74 (2017). MSC: 91G20 60G22 PDF BibTeX XML Cite \textit{H. Funahashi} and \textit{M. Kijima}, Ann. Finance 13, No. 1, 55--74 (2017; Zbl 1398.91588) Full Text: DOI
Forde, Martin; Zhang, Hongzhong Asymptotics for rough stochastic volatility models. (English) Zbl 1422.91693 SIAM J. Financ. Math. 8, 114-145 (2017). MSC: 91G20 60F10 60G22 60H99 PDF BibTeX XML Cite \textit{M. Forde} and \textit{H. Zhang}, SIAM J. Financ. Math. 8, 114--145 (2017; Zbl 1422.91693) Full Text: DOI
Armstrong, John; Forde, Martin; Lorig, Matthew; Zhang, Hongzhong Small-time asymptotics under local-stochastic volatility with a jump-to-default: curvature and the heat kernel expansion. (English) Zbl 1356.91086 SIAM J. Financ. Math. 8, 82-113 (2017). MSC: 91G20 91B70 60F10 60J60 58J65 58J35 PDF BibTeX XML Cite \textit{J. Armstrong} et al., SIAM J. Financ. Math. 8, 82--113 (2017; Zbl 1356.91086) Full Text: DOI
Gulisashvili, Archil Distance to the line in the Heston model. (English) Zbl 1361.53016 J. Math. Anal. Appl. 450, No. 1, 197-228 (2017). MSC: 53B20 91B99 91G80 PDF BibTeX XML Cite \textit{A. Gulisashvili}, J. Math. Anal. Appl. 450, No. 1, 197--228 (2017; Zbl 1361.53016) Full Text: DOI
Hin, Lin-Yee; Dokuchaev, Nikolai Computation of the implied discount rate and volatility for an overdefined system using stochastic optimization. (English) Zbl 1433.91175 IMA J. Manag. Math. 27, No. 4, 505-527 (2016). MSC: 91G20 91B70 90C15 PDF BibTeX XML Cite \textit{L.-Y. Hin} and \textit{N. Dokuchaev}, IMA J. Manag. Math. 27, No. 4, 505--527 (2016; Zbl 1433.91175) Full Text: DOI
Choi, Sun-Yong; Kim, Jeong-Hoon; Yoon, Ji-Hun The Heston model with stochastic elasticity of variance. (English) Zbl 1420.91454 Appl. Stoch. Models Bus. Ind. 32, No. 6, 804-824 (2016). MSC: 91G20 35Q91 91B70 PDF BibTeX XML Cite \textit{S.-Y. Choi} et al., Appl. Stoch. Models Bus. Ind. 32, No. 6, 804--824 (2016; Zbl 1420.91454) Full Text: DOI
Bi, Monika; Escobar, Marcos; Goetz, Barbara; Zagst, Rudi Principal component models with stochastic mean-reverting levels. Pricing and covariance surface improvements. (English) Zbl 1420.91449 Appl. Stoch. Models Bus. Ind. 32, No. 5, 585-606 (2016). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{M. Bi} et al., Appl. Stoch. Models Bus. Ind. 32, No. 5, 585--606 (2016; Zbl 1420.91449) Full Text: DOI
Teng, L.; Ehrhardt, M.; Günther, M. The dynamic correlation model and its application to the Heston model. (English) Zbl 1398.91464 Glau, Kathrin (ed.) et al., Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 – April 1, 2015. Cham: Springer Open (ISBN 978-3-319-33445-5/hbk; 978-3-319-33446-2/ebook). Springer Proceedings in Mathematics & Statistics 165, 437-449 (2016). MSC: 91B72 62P20 PDF BibTeX XML Cite \textit{L. Teng} et al., in: Innovations in derivatives markets. Fixed income modeling, valuation adjustments, risk management, and regulation. Proceedings of the conference, Munich, Germany, March 30 -- April 1, 2015. Cham: Springer Open. 437--449 (2016; Zbl 1398.91464) Full Text: DOI
Gerhold, Stefan; Gülüm, I. Cetin; Pinter, Arpad Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models. (English) Zbl 1396.91731 Appl. Math. Finance 23, No. 1-2, 135-157 (2016). MSC: 91G20 60G51 PDF BibTeX XML Cite \textit{S. Gerhold} et al., Appl. Math. Finance 23, No. 1--2, 135--157 (2016; Zbl 1396.91731) Full Text: DOI
Ling, T. G.; Shevchenko, P. V. Historical backtesting of local volatility model using aud/usd vanilla options. (English) Zbl 1415.91287 ANZIAM J. 57, No. 3, 319-338 (2016). MSC: 91G20 62P05 PDF BibTeX XML Cite \textit{T. G. Ling} and \textit{P. V. Shevchenko}, ANZIAM J. 57, No. 3, 319--338 (2016; Zbl 1415.91287) Full Text: DOI
Wang, Jiaqin; Deng, Guohe Pricing of interest rate derivatives based on affine jump diffusion model. (Chinese. English summary) Zbl 1374.91125 J. Guangxi Norm. Univ., Nat. Sci. 34, No. 3, 74-85 (2016). MSC: 91G20 91G30 60J75 PDF BibTeX XML Cite \textit{J. Wang} and \textit{G. Deng}, J. Guangxi Norm. Univ., Nat. Sci. 34, No. 3, 74--85 (2016; Zbl 1374.91125) Full Text: DOI
Forde, Martin; Kumar, Rohini Large-time option pricing using the Donsker-Varadhan LDP-correlated stochastic volatility with stochastic interest rates and jumps. (English) Zbl 1357.91047 Ann. Appl. Probab. 26, No. 6, 3699-3726 (2016). MSC: 91G20 60F10 60H30 60J60 60J25 60G51 91G60 65C05 PDF BibTeX XML Cite \textit{M. Forde} and \textit{R. Kumar}, Ann. Appl. Probab. 26, No. 6, 3699--3726 (2016; Zbl 1357.91047) Full Text: DOI Euclid
Baltean-Lugojan, Radu; Parpas, Panos Robust numerical calibration for implied volatility expansion models. (English) Zbl 1406.91431 SIAM J. Financ. Math. 7, 917-946 (2016). MSC: 91G20 91G60 90C30 41A60 PDF BibTeX XML Cite \textit{R. Baltean-Lugojan} and \textit{P. Parpas}, SIAM J. Financ. Math. 7, 917--946 (2016; Zbl 1406.91431) Full Text: DOI
Tehranchi, Michael R. Uniform bounds for Black-Scholes implied volatility. (English) Zbl 1406.91452 SIAM J. Financ. Math. 7, 893-916 (2016). MSC: 91G20 PDF BibTeX XML Cite \textit{M. R. Tehranchi}, SIAM J. Financ. Math. 7, 893--916 (2016; Zbl 1406.91452) Full Text: DOI
Caravenna, Francesco; Corbetta, Jacopo General smile asymptotics with bounded maturity. (English) Zbl 1350.91015 SIAM J. Financ. Math. 7, 720-759 (2016). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G20 91B25 60G44 PDF BibTeX XML Cite \textit{F. Caravenna} and \textit{J. Corbetta}, SIAM J. Financ. Math. 7, 720--759 (2016; Zbl 1350.91015) Full Text: DOI arXiv
Figueroa-López, José E.; Ólafsson, Sveinn Short-term asymptotics for the implied volatility skew under a stochastic volatility model with Lévy jumps. (English) Zbl 1349.91268 Finance Stoch. 20, No. 4, 973-1020 (2016). MSC: 91G20 60F99 60H30 60H10 60G51 91G60 PDF BibTeX XML Cite \textit{J. E. Figueroa-López} and \textit{S. Ólafsson}, Finance Stoch. 20, No. 4, 973--1020 (2016; Zbl 1349.91268) Full Text: DOI
Fouque, Jean-Pierre; Lorig, Matthew; Sircar, Ronnie Second order multiscale stochastic volatility asymptotics: stochastic terminal layer analysis and calibration. (English) Zbl 1369.91180 Finance Stoch. 20, No. 3, 543-588 (2016). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G20 60H30 35Q91 91B70 PDF BibTeX XML Cite \textit{J.-P. Fouque} et al., Finance Stoch. 20, No. 3, 543--588 (2016; Zbl 1369.91180) Full Text: DOI
Forde, Martin; Zhang, Hongzhong Small-time asymptotics for basket options – the bivariate SABR model and the hyperbolic heat kernel on \(\mathbb{H}^3\). (English) Zbl 1345.60031 SIAM J. Financ. Math. 7, 448-476 (2016). MSC: 60F99 60F10 60J60 60J35 91G80 PDF BibTeX XML Cite \textit{M. Forde} and \textit{H. Zhang}, SIAM J. Financ. Math. 7, 448--476 (2016; Zbl 1345.60031) Full Text: DOI
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian High-order short-time expansions for ATM option prices of exponential Lévy models. (English) Zbl 1348.91268 Math. Finance 26, No. 3, 516-557 (2016). MSC: 91G20 60G51 60J75 60H30 PDF BibTeX XML Cite \textit{J. E. Figueroa-López} et al., Math. Finance 26, No. 3, 516--557 (2016; Zbl 1348.91268) Full Text: DOI arXiv