Pirjol, Dan Subleading correction to the Asian options volatility in the Black-Scholes model. (English) Zbl 1521.91363 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350005, 19 p. (2023). MSC: 91G20 60J70 PDFBibTeX XMLCite \textit{D. Pirjol}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350005, 19 p. (2023; Zbl 1521.91363) Full Text: DOI
Pirjol, Dan Small-\(t\) expansion for the Hartman-Watson distribution. (English) Zbl 1492.60039 Methodol. Comput. Appl. Probab. 23, No. 4, 1537-1549 (2021). MSC: 60E05 41A60 33F05 PDFBibTeX XMLCite \textit{D. Pirjol}, Methodol. Comput. Appl. Probab. 23, No. 4, 1537--1549 (2021; Zbl 1492.60039) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{A. Gulisashvili}, SIAM J. Financ. Math. 9, No. 3, 1102--1136 (2018; Zbl 1416.91376) Full Text: DOI arXiv
Cao, Jiling; Lian, Guanghua; Roslan, Teh Raihana Nazirah Pricing variance swaps under stochastic volatility and stochastic interest rate. (English) Zbl 1410.91438 Appl. Math. Comput. 277, 72-81 (2016). MSC: 91G20 60J70 91G70 91G30 PDFBibTeX XMLCite \textit{J. Cao} et al., Appl. Math. Comput. 277, 72--81 (2016; Zbl 1410.91438) Full Text: DOI Link
Forde, Martin The large-maturity smile for the Stein-Stein model. (English) Zbl 1296.91211 Stat. Probab. Lett. 91, 145-152 (2014). MSC: 91B70 60H30 60E10 60F10 PDFBibTeX XMLCite \textit{M. Forde}, Stat. Probab. Lett. 91, 145--152 (2014; Zbl 1296.91211) Full Text: DOI
Forde, Martin; Pogudin, Andrey The large-maturity smile for the SABR and CEV-Heston models. (English) Zbl 1290.91160 Int. J. Theor. Appl. Finance 16, No. 8, Article ID 1350047, 20 p. (2013). MSC: 91G20 60H30 60F10 91B70 PDFBibTeX XMLCite \textit{M. Forde} and \textit{A. Pogudin}, Int. J. Theor. Appl. Finance 16, No. 8, Article ID 1350047, 20 p. (2013; Zbl 1290.91160) Full Text: DOI
Martynov, Mikhail; Rozanova, Olga On dependence of volatility on return for stochastic volatility models. (English) Zbl 1284.91559 Stochastics 85, No. 5, 917-927 (2013). MSC: 91G30 60H10 91B70 PDFBibTeX XMLCite \textit{M. Martynov} and \textit{O. Rozanova}, Stochastics 85, No. 5, 917--927 (2013; Zbl 1284.91559) Full Text: DOI arXiv
Gulisashvili, Archil; Vives, Josep Two-sided estimates for distribution densities in models with jumps. (English) Zbl 1247.91184 Zili, Mounir (ed.) et al., Stochastic differential equations and processes. SAAP, Tunisia, October 7-9, 2010. Selected papers based on the presentations at the international conference on stochastic analysis and applied probability. Berlin: Springer (ISBN 978-3-642-22367-9/hbk; 978-3-642-22368-6/ebook). Springer Proceedings in Mathematics 7, 239-254 (2012). MSC: 91G20 91B25 60J75 60E99 PDFBibTeX XMLCite \textit{A. Gulisashvili} and \textit{J. Vives}, Springer Proc. Math. 7, 239--254 (2012; Zbl 1247.91184) Full Text: DOI arXiv
Gulisashvili, Archil Asymptotic equivalence in Lee’s moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg’s conjecture. (English) Zbl 1241.91114 Int. J. Theor. Appl. Finance 15, No. 3, Article ID 1250020, 34 p. (2012). MSC: 91G20 PDFBibTeX XMLCite \textit{A. Gulisashvili}, Int. J. Theor. Appl. Finance 15, No. 3, Article ID 1250020, 34 p. (2012; Zbl 1241.91114) Full Text: DOI
Gerhold, Stefan The Hartman-Watson distribution revisited: asymptotics for pricing Asian options. (English) Zbl 1279.62041 J. Appl. Probab. 48, No. 3, 892-899 (2011). MSC: 62E20 60H30 60J65 91G20 PDFBibTeX XMLCite \textit{S. Gerhold}, J. Appl. Probab. 48, No. 3, 892--899 (2011; Zbl 1279.62041) Full Text: DOI arXiv
Gulisashvili, Archil; Stein, Elias M. Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models. (English) Zbl 1208.91172 Appl. Math. Optim. 61, No. 3, 287-315 (2010). Reviewer: Pedro A. Morettin (São Paulo) MSC: 91G80 91G70 PDFBibTeX XMLCite \textit{A. Gulisashvili} and \textit{E. M. Stein}, Appl. Math. Optim. 61, No. 3, 287--315 (2010; Zbl 1208.91172) Full Text: DOI arXiv
Gulisashvili, Archil; Stein, Elias M. Implied volatility in the Hull-White model. (English) Zbl 1168.91360 Math. Finance 19, No. 2, 303-327 (2009). MSC: 91B24 PDFBibTeX XMLCite \textit{A. Gulisashvili} and \textit{E. M. Stein}, Math. Finance 19, No. 2, 303--327 (2009; Zbl 1168.91360) Full Text: DOI