Copertina

Correct implied volatility shapes and reliable pricing in the rough Heston model

Fuente: arXiv

Salvato in:

Dettagli Bibliografici
Autori principali:	Boyarchenko, Svetlana, Levendorskiǐ, Sergei
Natura:	Preprint
Pubblicazione:	2024
Soggetti:	Mathematical Finance Computational Finance 60-08, 60E10, 60G10, 60G22, 65C20, 65D30, 65G20, 91G20, 91G60
Accesso online:	Acceder al recurso
Tags:	Aggiungi Tag Nessun Tag, puoi essere il primo ad aggiungerne!!

Documenti analoghi

Fast reliable pricing and calibration of the rough Heston model
di: Boyarchenko, Svetlana, et al.
Pubblicazione: (2025)

Alternative models for FX: pricing double barrier options in regime-switching Lévy models with memory
di: Boyarchenko, Svetlana, et al.
Pubblicazione: (2024)

Efficient inverse $Z$-transform and Wiener-Hopf factorization
di: Boyarchenko, Svetlana, et al.
Pubblicazione: (2024)

Asymptotics of survival probabilities and lower tail probability problem
di: Boyarchenko, Svetlana, et al.
Pubblicazione: (2025)

Rough volatility, path-dependent PDEs and weak rates of convergence
di: Bonesini, Ofelia, et al.
Pubblicazione: (2023)

Rough differential equations for volatility
di: Bonesini, Ofelia, et al.
Pubblicazione: (2024)

Extreme ATM skew in a local volatility model with discontinuity: joint density approach
di: Gairat, Alexander, et al.
Pubblicazione: (2023)

Efficient simulation of a new class of Volterra-type SDEs
di: Bonesini, Ofelia, et al.
Pubblicazione: (2023)

Pricing American options under rough volatility using deep-signatures and signature-kernels
di: Bayer, Christian, et al.
Pubblicazione: (2025)

Pricing VIX options under the Heston-Hawkes stochastic volatility model
di: Font, Oriol Zamora
Pubblicazione: (2024)

Multilevel Monte Carlo simulation for VIX options in the rough Bergomi model
di: Bourgey, Florian, et al.
Pubblicazione: (2021)

Computation of Greeks under rough Volterra stochastic volatility models using the Malliavin calculus approach
di: Al-Foraih, Mishari, et al.
Pubblicazione: (2023)

Multi-Layer Deep xVA: Structural Credit Models, Measure Changes and Convergence Analysis
di: Andersson, Kristoffer, et al.
Pubblicazione: (2025)

Efficient and accurate simulation of the stochastic-alpha-beta-rho model
di: Choi, Jaehyuk, et al.
Pubblicazione: (2024)

Arbitrage-Free Option Price Surfaces via Chebyshev Tensor Bases and a Hamiltonian Fog Post-Fit
di: Alvarez, Robert Jenkinson
Pubblicazione: (2025)

Almost-Exact Simulation Scheme for Heston-type Models: Bermudan and American Option Pricing
di: Dimitrov, Mara Kalicanin, et al.
Pubblicazione: (2025)

American Option Pricing Under Time-Varying Rough Volatility: A Signature-Based Hybrid Framework
di: Shah, Roshan
Pubblicazione: (2025)

Pricing and calibration in the 4-factor path-dependent volatility model
di: Gazzani, Guido, et al.
Pubblicazione: (2024)

Admissible Information Structures and the Non-Existence of Global Martingale Pricing
di: Dominguez, Alejandro Rodriguez
Pubblicazione: (2026)

Multifactor Quadratic Hobson and Rogers models
di: Foschi, Paolo
Pubblicazione: (2025)

Risk premium and rough volatility
di: Bonesini, Ofelia, et al.
Pubblicazione: (2024)

Hedging in Jump Diffusion Model with Transaction Costs
di: Almani, Hamidreza Maleki, et al.
Pubblicazione: (2024)

Volatility Modeling with Rough Paths: A Signature-Based Alternative to Classical Expansions
di: Alòs, Elisa, et al.
Pubblicazione: (2025)

Primal and dual optimal stopping with signatures
di: Bayer, Christian, et al.
Pubblicazione: (2023)

Heath-Jarrow-Morton meet lifted Heston in energy markets for joint historical and implied calibration
di: Jaber, Eduardo Abi, et al.
Pubblicazione: (2025)

Fast and explicit European option pricing under tempered stable processes
di: Agazzotti, Gaetano, et al.
Pubblicazione: (2025)

Risk-Neutral Pricing of Random-Expiry Options Using Trinomial Trees
di: Bossu, Sebastien, et al.
Pubblicazione: (2025)

On the Structural Foundations of Signature Volatility Models: Existence, Arbitrage, Completeness, and the Hedging-Error Decomposition
di: Xodarev, Akmal
Pubblicazione: (2026)

Gradient-enhanced sparse Hermite polynomial expansions for pricing and hedging high-dimensional American options
di: Yang, Jiefei, et al.
Pubblicazione: (2024)

Rough Heston model as the scaling limit of bivariate cumulative heavy-tailed INAR processes: Weak-error bounds and option pricing
di: Wang, Yingli, et al.
Pubblicazione: (2025)

Analysis of optimal portfolio on finite and small-time horizons for a stochastic volatility model with multiple correlated assets
di: Lin, Minglian, et al.
Pubblicazione: (2023)

The value of partial information
di: Ernst, Philip A., et al.
Pubblicazione: (2025)

The indifference value of the weak information
di: Baudoin, Fabrice, et al.
Pubblicazione: (2024)

Pricing and hedging for a sticky diffusion
di: Anagnostakis, Alexis
Pubblicazione: (2023)

A Monotone Limit Approach to Entropy-Regularized American Options
di: Chee, Daniel, et al.
Pubblicazione: (2026)

Short-time behavior of the At-The-Money implied volatility for the jump-diffusion stochastic volatility Bachelier model
di: Alòs, Elisa, et al.
Pubblicazione: (2025)

Smile asymptotics for Bachelier implied volatility
di: Baviera, Roberto, et al.
Pubblicazione: (2025)

Rough volatility dynamics in commodity markets
di: Daluiso, Roberto, et al.
Pubblicazione: (2026)

Hedging with memory: shallow and deep learning with signatures
di: Jaber, Eduardo Abi, et al.
Pubblicazione: (2025)

Efficient approximations for utility-based pricing
di: Carassus, Laurence, et al.
Pubblicazione: (2021)