Cover Image

Gatheral double stochastic volatility model with Skorokhod reflection

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Mishura, Yuliya, Pilipenko, Andrey, Ralchenko, Kostiantyn
Format:	Preprint
Published:	2025
Subjects:	Mathematical Finance Probability Pricing of Securities 60H10, 91G30, 91G80
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

From constant to rough: A survey of continuous volatility modeling
by: Di Nunno, Giulia, et al.
Published: (2023)

Multifactor Quadratic Hobson and Rogers models
by: Foschi, Paolo
Published: (2025)

Portfolios Generated by Contingent Claim Functions, with Applications to Option Pricing
by: Fernholz, Ricardo T., et al.
Published: (2023)

Mild to classical solutions for XVA equations under stochastic volatility
by: Brigo, Damiano, et al.
Published: (2021)

Thiele's PIDE for unit-linked policies in the Heston-Hawkes stochastic volatility model
by: Baños, David R., et al.
Published: (2023)

G-Doob-Meyer Decomposition and its Application in Bid-Ask Pricing for American Contingent Claim Under Knightian Uncertainty
by: Chen, Wei
Published: (2013)

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

Functional quantization of rough volatility and applications to volatility derivatives
by: Bonesini, Ofelia, et al.
Published: (2021)

Utility maximization in constrained and unbounded financial markets: Applications to indifference valuation, regime switching, consumption and Epstein-Zin recursive utility
by: Hu, Ying, et al.
Published: (2017)

When defaults cannot be hedged: an actuarial approach to xVA calculations via local risk-minimization
by: Biagini, Francesca, et al.
Published: (2025)

Pricing with Passion: The Local Occupied Volatility (LOV) Model
by: Tissot-Daguette, Valentin
Published: (2026)

Tighter 'uniform bounds for Black-Scholes implied volatility' and the applications to root-finding
by: Choi, Jaehyuk, et al.
Published: (2023)

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

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

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

Filtering in a hazard rate change-point model with financial and life-insurance applications
by: Buttarazzi, Matteo, et al.
Published: (2025)

On the Guyon-Lekeufack Volatility Model
by: Nutz, Marcel, et al.
Published: (2023)

Pricing Derivatives under Self-Exciting Dynamics: A Finite-Difference and Transform Approach
by: Ahmed, Aqib, et al.
Published: (2026)

From Arbitrage Removal to Density Extraction: A Model-Free Framework for Short-Dated Options
by: Wizman, Aaron, et al.
Published: (2026)

Filtration Reduction and Completeness in Jump-Diffusion Models
by: Grigorian, Karen, et al.
Published: (2023)

A Limit Order Book Model for High Frequency Trading with Rough Volatility
by: Chen-Shue, Yun, et al.
Published: (2024)

A functional variational approach to pricing path dependent insurance policies
by: Baños, David R., et al.
Published: (2024)

Signature volatility models: pricing and hedging with Fourier
by: Jaber, Eduardo Abi, et al.
Published: (2024)

Short-rate models with stochastic discontinuities: a PDE approach
by: Calvia, Alessandro, et al.
Published: (2025)

Occupied Processes: Going with the Flow
by: Tissot-Daguette, Valentin
Published: (2023)

Analytical valuation of vulnerable derivative claims with bilateral cash flows under credit, funding and wrong-way risk
by: Miguelez, Juan Jose Francisco, et al.
Published: (2023)

Equilibrium with Heterogeneous Information Flows
by: Robertson, Scott
Published: (2023)

Pricing and delta computation in jump-diffusion models with stochastic intensity by Malliavin calculus
by: Ahmadi, Ayub, et al.
Published: (2024)

Rank-Dependent Predictable Forward Performance Processes
by: Angoshtari, Bahman, et al.
Published: (2024)

Mean Field Equilibrium Asset Pricing Models With Exponential Utility
by: Sekine, Masashi
Published: (2026)

The fundamental representation of pricing adjustments
by: Burnett, Benedict, et al.
Published: (2025)

Interest rate convexity in a Gaussian framework
by: Jacquier, Antoine, et al.
Published: (2023)

Jump risk premia in the presence of clustered jumps
by: Liu, Francis, et al.
Published: (2025)

Convolution-FFT for option pricing in the Heston model
by: Gao, Xiang, et al.
Published: (2025)

Affine realizations with affine state processes for stochastic partial differential equations
by: Tappe, Stefan
Published: (2019)

Stochastic portfolio theory with price impact
by: Itkin, David
Published: (2025)

Existence of affine realizations for stochastic partial differential equations driven by Lévy processes
by: Tappe, Stefan
Published: (2019)

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

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

Financial Stochastic Models Diffusion: From Risk-Neutral to Real-World Measure
by: Alaya, Mohamed Ben, et al.
Published: (2024)