EconBiz Author Profile

Click on a term to reduce result list Information symbol The result list below will be reduced to the selected search terms. The terms are generated from the titles, abstracts and STW thesaurus of publications by the respective author.

option pricing theoryoption tradingpricing moderatemoderate deviationsdeviations regimevolatility modelsimplied volatilityindex futureseuropean option pricingsmall time asymptoticsblack scholes modellblack scholes modelstochastischer prozessstochastic processreconstructing volatilityvolatility pricingpricing indexindex optionsoptions roughrough volatilityvolatility shortshort dateddated smilesmile roughvolatility asymptoticsasymptotics numericsnumerics locallocal volatilityvolatility roughvolatility optionoption pricingregime shortshort timetime nearnear moneymoney skewskew roughrough fractionalfractional volatilitymodels optionregime considerconsider optionoption pricesprices diffusiondiffusion modelsmodels closeclose expiryexpiry asymptoticasymptotic regimeregime moderatelymoderately moneymoney interpolatesinterpolates studiedstudied casescases moneymoney optionsoptions moneymoney fixedfixed strikestrike optionsoptions higherhigher orderorder smallsmall timetime moderatemoderate deviationdeviation estimatesestimates pricesprices implied

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Years of publications: 2013 - 2023

12 records from EconBiz based on author Name

1. Reconstructing volatility : pricing of index options under rough volatility

Friz, Peter K.; Wagenhofer, Thomas;
2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link

2. Short-dated smile under rough volatility : asymptotics and numerics

Friz, Peter K.; Gassiat, Paul; Pigato, Paolo;
2022
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link Link
Citations: 4 (based on OpenCitations)

3. Reconstructing volatility: Pricing of index options under rough volatility

Friz, Peter K.; Wagenhofer, Thomas;
2023
Type: Article;
Availability:

Link

4. Local volatility under rough volatility

Bourgey, Florian; De Marco, Stefano; Friz, Peter K.; Pigato, Paolo;
2023
Type: Aufsatz in Zeitschrift; Article in journal;
Availability: Link Link

5. A regularity structure for rough volatility

Bayer, Christian; Friz, Peter K.; Gassiat, Paul; Martin, Jorg; Stemper, Benjamin;
2019
Type: Article;
Availability:

Link

6. Option Pricing in the Moderate Deviations Regime

abstract

We consider call option prices in diffusion models close to expiry, in an asymptotic regime ("moderately out of the money") that interpolates between the well-studied cases of at-the-money options and out-of-the-money fixed-strike options. First and higher order small-time moderate deviation estimates of call prices and implied volatility are obtained. The expansions involve only simple expressions of the model parameters, and we show in detail how to calculate them for generic local and stochastic volatility models. Some numerical examples for the Heston model illustrate the accuracy of our results

Friz, Peter K.; Gerhold, Stefan; Pinter, Arpad;
2016
Availability: Link Link
Citations: 1 (based on OpenCitations)