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• W3126075830 abstract "We consider an asset whose risk‐neutral dynamics are described by a general class of local‐stochastic volatility models and derive a family of asymptotic expansions for European‐style option prices and implied volatilities. We also establish rigorous error estimates for these quantities. Our implied volatility expansions are explicit; they do not require any special functions nor do they require numerical integration. To illustrate the accuracy and versatility of our method, we implement it under four different model dynamics: constant elasticity of variance local volatility, Heston stochastic volatility, three‐halves stochastic volatility, and SABR local‐stochastic volatility." @default.
• W3126075830 created "2021-02-01" @default.
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• W3126075830 date "2015-09-29" @default.
• W3126075830 modified "2023-10-17" @default.
• W3126075830 title "EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS" @default.
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• W3126075830 doi "https://doi.org/10.1111/mafi.12105" @default.
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