Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing
By Pierre Henry-Labordère. 2008
181 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/c57839217e43010c83a18d81fce792d6e483276b
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In Finance
- Jean-Pierre Fouque 3
- Rohini Kumar
- Antoine Jacquier
- Martin Forde
- Jin Feng
- Masaaki Fukasawa
- Eduardo Abi Jaber
- Martin Hairer
Citations in the corpus
- Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “Numerical comparisons with asymptotic expansions In this section, we benchmark our approach against alternative implied volatility expansions proposed in Gatheral et al. (2012) and Henry-Labordere (2008).”
- ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (2012, unknown): “Using this we have after some routine manipulations lim τ↓0 τ ln P0 {τD−θτ ≤ τ } ≤ − D 2 2 .”
- SMALL-TIME ASYMPTOTICS FOR FAST MEAN-REVERTING STOCHASTIC VOLATILITY MODELS (2010, methodology): “For particular models, such as the SABR model [19, 21], approximations obtained by expansion techniques have been proposed; see also [18, 22, 28].”
- Short-time at-the-money skew and rough fractional volatility (2015, background): “Henry-Labordére, P., Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing, 2009 (Chapman & Hall).”
- Asymptotic Implied Volatility at the Second Order with Application to the SABR Model (2009, unknown): “A introduction to this subject and its applications to finance can be found in [HL08].”
- SMALL-TIME ASYMPTOTICS FOR IMPLIED VOLATILITY UNDER THE HESTON MODEL (2009, methodology): “[21], Henry-Labordère [22] and Paulot [35]).”
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (2013, unknown): “…models by describing the instantaneous volatility of an underlying S by a function σ ( t, S t , Y t ) where Y is some auxiliary, possibly multidimensional, stochastic process (see, for instance, Lipton (2002), Alexander and Nogueira (2004), Ewald (2005), Henry-Labordere (2009) and Clark (2010)).”