Pirjol, Dan; Zhu, Lingjiong Short-maturity asymptotics for option prices with interest rate effects. (English) Zbl 07806897 Int. J. Theor. Appl. Finance 26, No. 6-7, Article ID 2350023, 28 p. (2023). MSC: 91G20 91G30 60F10 PDFBibTeX XMLCite \textit{D. Pirjol} and \textit{L. Zhu}, Int. J. Theor. Appl. Finance 26, No. 6--7, Article ID 2350023, 28 p. (2023; Zbl 07806897) Full Text: DOI
Forde, Martin; Smith, Benjamin Markovian stochastic volatility with stochastic correlation – joint calibration and consistency of SPX/VIX short-maturity smiles. (English) Zbl 1521.91358 Int. J. Theor. Appl. Finance 26, No. 2-3, Article ID 2350007, 42 p. (2023). MSC: 91G20 60F10 60G46 PDFBibTeX XMLCite \textit{M. Forde} and \textit{B. Smith}, Int. J. Theor. Appl. Finance 26, No. 2--3, Article ID 2350007, 42 p. (2023; Zbl 1521.91358) Full Text: DOI
Forde, Martin; Gerhold, Stefan; Smith, Benjamin Small-time, large-time, and \(H \to 0\) asymptotics for the rough Heston model. (English) Zbl 1522.91243 Math. Finance 31, No. 1, 203-241 (2021). Reviewer: Pavel Stoynov (Sofia) MSC: 91G15 91G20 91B70 60G60 PDFBibTeX XMLCite \textit{M. Forde} et al., Math. Finance 31, No. 1, 203--241 (2021; Zbl 1522.91243) Full Text: DOI arXiv
Recchioni, Maria Cristina; Iori, Giulia; Tedeschi, Gabriele; Ouellette, Michelle S. The complete Gaussian kernel in the multi-factor Heston model: option pricing and implied volatility applications. (English) Zbl 1487.91141 Eur. J. Oper. Res. 293, No. 1, 336-360 (2021). MSC: 91G20 62P05 91B70 PDFBibTeX XMLCite \textit{M. C. Recchioni} et al., Eur. J. Oper. Res. 293, No. 1, 336--360 (2021; Zbl 1487.91141) Full Text: DOI
Li, Shihu; Liu, Wei; Xie, Yingchao Small time asymptotics for SPDEs with locally monotone coefficients. (English) Zbl 1464.60066 Discrete Contin. Dyn. Syst., Ser. B 25, No. 12, 4801-4822 (2020). MSC: 60H15 60F10 76S05 35J92 35K57 PDFBibTeX XMLCite \textit{S. Li} et al., Discrete Contin. Dyn. Syst., Ser. B 25, No. 12, 4801--4822 (2020; Zbl 1464.60066) Full Text: DOI arXiv
Gulisashvili, Archil; Viens, Frederi; Zhang, Xin Small-time asymptotics for Gaussian self-similar stochastic volatility models. (English) Zbl 1464.60033 Appl. Math. Optim. 82, No. 1, 183-223 (2020). MSC: 60G15 91G20 PDFBibTeX XMLCite \textit{A. Gulisashvili} et al., Appl. Math. Optim. 82, No. 1, 183--223 (2020; Zbl 1464.60033) Full Text: DOI arXiv
Grunspan, Cyril; Van Der Hoeven, Joris Effective asymptotics analysis for finance. (English) Zbl 1443.91290 Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050013, 23 p. (2020). MSC: 91G20 41A60 PDFBibTeX XMLCite \textit{C. Grunspan} and \textit{J. Van Der Hoeven}, Int. J. Theor. Appl. Finance 23, No. 2, Article ID 2050013, 23 p. (2020; Zbl 1443.91290) Full Text: DOI HAL
Pirjol, Dan; Zhu, Lingjiong Short maturity Asian options for the CEV model. (English) Zbl 1508.91569 Probab. Eng. Inf. Sci. 33, No. 2, 258-290 (2019). MSC: 91G20 60F10 PDFBibTeX XMLCite \textit{D. Pirjol} and \textit{L. Zhu}, Probab. Eng. Inf. Sci. 33, No. 2, 258--290 (2019; Zbl 1508.91569) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{P. Friz} et al., Math. Finance 28, No. 3, 962--988 (2018; Zbl 1411.91554) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{M. Fukasawa}, Quant. Finance 17, No. 2, 189--198 (2017; Zbl 1402.91777) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{M. Lorig} et al., Math. Finance 27, No. 3, 926--960 (2017; Zbl 1422.91713) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{J. Armstrong} et al., SIAM J. Financ. Math. 8, 82--113 (2017; Zbl 1356.91086) Full Text: DOI arXiv
Pirjol, Dan; Zhu, Lingjiong Short maturity Asian options in local volatility models. (English) Zbl 1406.91450 SIAM J. Financ. Math. 7, 947-992 (2016). MSC: 91G20 91G60 60F10 65K15 PDFBibTeX XMLCite \textit{D. Pirjol} and \textit{L. Zhu}, SIAM J. Financ. Math. 7, 947--992 (2016; Zbl 1406.91450) Full Text: DOI arXiv
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 PDFBibTeX XMLCite \textit{J. E. Figueroa-López} et al., Math. Finance 26, No. 3, 516--557 (2016; Zbl 1348.91268) Full Text: DOI arXiv
Ekström, Erik; Lu, Bing Short-time implied volatility in exponential Lévy models. (English) Zbl 1337.91052 Int. J. Theor. Appl. Finance 18, No. 4, Article ID 1550025, 14 p. (2015). MSC: 91B70 60G51 91G20 PDFBibTeX XMLCite \textit{E. Ekström} and \textit{B. Lu}, Int. J. Theor. Appl. Finance 18, No. 4, Article ID 1550025, 14 p. (2015; Zbl 1337.91052) Full Text: DOI
Figueroa-López, José E.; Luo, Yankeng; Ouyang, Cheng Small-time expansions for local jump-diffusion models with infinite jump activity. (English) Zbl 1304.60083 Bernoulli 20, No. 3, 1165-1209 (2014). Reviewer: Marius Iosifescu (Bucureşti) MSC: 60J60 60J75 PDFBibTeX XMLCite \textit{J. E. Figueroa-López} et al., Bernoulli 20, No. 3, 1165--1209 (2014; Zbl 1304.60083) Full Text: DOI arXiv Euclid
Gulisashvili, Archil; Laurence, Peter The Heston Riemannian distance function. (English) Zbl 1312.91097 J. Math. Pures Appl. (9) 101, No. 3, 303-329 (2014). Reviewer: Andreea Olteanu (Bucureşti) MSC: 91G80 53C25 53C17 91B70 91G20 PDFBibTeX XMLCite \textit{A. Gulisashvili} and \textit{P. Laurence}, J. Math. Pures Appl. (9) 101, No. 3, 303--329 (2014; Zbl 1312.91097) Full Text: DOI arXiv
Figueroa-López, José E.; Gong, Ruoting; Houdré, Christian Small-time expansions of the distributions, densities, and option prices of stochastic volatility models with Lévy jumps. (English) Zbl 1244.91089 Stochastic Processes Appl. 122, No. 4, 1808-1839 (2012). Reviewer: Johannes Muhle-Karbe (Zürich) MSC: 91G20 60F99 60G51 60J60 PDFBibTeX XMLCite \textit{J. E. Figueroa-López} et al., Stochastic Processes Appl. 122, No. 4, 1808--1839 (2012; Zbl 1244.91089) Full Text: DOI arXiv