Convergence analysis for continuous-time Markov chain approximation of stochastic local volatility models: Option pricing and Greeks

A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model

(2021) Sha Lin et al.   CHAOS SOLITONS & FRACTALS

A closed-form pricing formula for European options under a new stochastic volatility model with a stochastic long-term mean

(2020) Xin-Jiang He et al.   Mathematics and Financial Economics

A General Valuation Framework for SABR and Stochastic Local Volatility Models

(2018) Zhenyu Cui et al.   SIAM Journal on Financial Mathematics

Error analysis of finite difference and Markov chain approximations for option pricing

(2017) Lingfei Li et al.   MATHEMATICAL FINANCE

Exact Simulation of the SABR Model

(2017) Ning Cai et al.   OPERATIONS RESEARCH

Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion

(2017) John Armstrong et al.   SIAM Journal on Financial Mathematics

THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL

(2016) Martino Grasselli   MATHEMATICAL FINANCE

The α-hypergeometric stochastic volatility model

(2016) José Da Fonseca et al.   STOCHASTIC PROCESSES AND THEIR APPLICATIONS

A General Framework for Pricing Asian Options Under Markov Processes

(2015) Ning Cai et al.   OPERATIONS RESEARCH

CONTINUOUSLY MONITORED BARRIER OPTIONS UNDER MARKOV PROCESSES

(2011) Aleksandar Mijatović et al.   MATHEMATICAL FINANCE

SERIES EXPANSION OF THE SABR JOINT DENSITY

(2010) Qi Wu   MATHEMATICAL FINANCE