scholarly journals Calibration of local‐stochastic volatility models by optimal transport

2021 ◽  
Author(s):  
Ivan Guo ◽  
Grégoire Loeper ◽  
Shiyi Wang
Keyword(s):  
Stochastic Volatility ◽  
Optimal Transport ◽  
Stochastic Volatility Models ◽  
Volatility Models

An adaptive Filon quadrature for stochastic volatility models

2018 ◽  
Vol 22 (3) ◽  
pp. 65-88 ◽  
Author(s):  
Fabien Le Floc'h
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models

A Taylor series approach to pricing and implied volatility for local–stochastic volatility models

2014 ◽  
Vol 17 (2) ◽  
pp. 3-19 ◽  
Author(s):  
Matthew Lorig ◽  
Stefano Pagliarani ◽  
Andrea Pascucci
Keyword(s):  
Stochastic Volatility ◽  
Taylor Series ◽  
Implied Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models

Pricing Exotic Variance Swaps Under 3/2-Stochastic Volatility Models

2013 ◽  
Author(s):  
Chi Yuen ◽  
Wendong Zheng ◽  
Yue Kuen Kwok
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Variance Swaps ◽  
Volatility Models

Computing Journal: Stochastic-volatility Models with Optional Jumps

2007 ◽  
Author(s):  
Anna Pretre ◽  
Gabriele Susinno
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models

Asymmetric Stochastic Volatility Models: Properties and Estimation

2015 ◽  
Author(s):  
Xiuping Mao ◽  
Esther Ruiz ◽  
Helena Veiga ◽  
Veronika Czellar
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models
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