Short-term barrier option price expansion

Basket implied volatility skew and stickiness

Masaaki Fukasawa, Jun Maeda, Tatsuya Ogiwara

Resumo indisponível. Consulte o paper original.

Yet another asymptotic formula for implied volatility

Masaaki Fukasawa

Distribution-constrained maximum stopping of maximum type

Shuoqing Deng, Xin Zhang

Resumo indisponível. Consulte o paper original.

Densities for scalar-valued BSDEs via unique continuation and backward uniqueness

Solesne Bourguin, Daniel C. Schwarz

Resumo indisponível. Consulte o paper original.

Stochastic Knothe-Rosenblatt: Light-speed Calibration of Stochastic Local Volatility Models

Mathias Beiglböck, Manuel Hasenbichler, Gudmund Pammer

Resumo indisponível. Consulte o paper original.

Global Structure and Local Specifications in Sublinear Valuation

Jongjin Park, David Criens, Hyungbin Park

Resumo indisponível. Consulte o paper original.