Multiscale stochastic volatility asymptotics (2003)

by Jean-Pierre Fouque , George Papanicolaou , Ronnie Sircar , Knut Solna
Venue:SIAM J. MULTISCALE MODELING AND SIMULATION
Citations:28 - 11 self

Active Bibliography

2 Timing the Smile – Jean-pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna - 2003
Maturity Cycles in Implied Volatility – Jean-Pierre Fouque George, George Papanicolaou, Ronnie Sircar, Knut Solna - 2002
1 An Option Pricing Formula for the GARCH diffusion Model Giovanni Barone-Adesi ∗ – Henrik Obbekaer Rasmussen, Claudia Ravanelli - 2003
22 Mean-Reverting Stochastic Volatility – Jean-Pierre Fouque, George Papanicolaou , K. Ronnie Sircar - 2000
10 IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY – Roger W. Lee - 2001
Second Order Multiscale Stochastic Volatility Asymptotics: Stochastic Terminal Layer Analysis & Calibration – Jean-pierre Fouque, Matthew Lorig, Ronnie Sircar - 2012
3 Implied Volatility: Statics, Dynamics, and Probabilistic Interpretation – Roger W. Lee - 2002
1 Essays in Financial Econometrics – Mikhail Chernov - 2000
48 Maximum likelihood estimation for stochastic volatility models – Yacine Aït-Sahalia, Robert Kimmel - 2007
Singular Perturbations on Non-Smooth Boundary Problems in Finance – Chuan-Hsiang Han - 2003
6 Comparison results for stochastic volatility models via coupling. Finance Stoch – David Hobson - 2008
Recession Prediction Modeling THE VOLATILITY PREMIUM RISK: VALUATION AND FORECASTING 1 – Bogdan Negrea
13 Stochastic Volatility, Smile & Asymptotics – K. Ronnie Sircar , George C. Papanicolaou - 1998
2 ANALYTIC METHODS FOR PRICING DOUBLE BARRIER OPTIONS IN THE PRESENCE OF STOCHASTIC VOLATILITY – OLIVER FAULHABER - 2002
6 Stochastic Volatility – David G. Hobson - 1996
1 Bayesian Time Series: Financial Models And Spectral Analysis – Yang Chen, Yang Chen - 1997
Option pricing for stochastic volatility models: Vol-of-Vol expansion – S. M. Ould Aly - 2013
72 The Dynamics of Stochastic Volatility: Evidence from Underlying and Option Markets – Christopher S. Jones - 2000
Can We Forecast the Implied Volatility Surface Dynamics for CBOE Equity Options? Predictability and Economic Value Tests – Alejandro Bernales, Massimo Guidolin - 2010