20 citations · 62 across the 13 of their papers we have counts for
4 papers · 1 filter
Asymptotics for -dimensional Lévy-type processes
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
We consider a general d-dimensional Levy-type process with killing. Combining the classical Dyson series approach with a novel polynomial expansion of the generator A(t) of the Lev…
A Taylor series approach to pricing and implied vol for LSV models
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility settin…
Explicit implied volatilities for multifactor local-stochastic volatility models
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
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-st…
Pricing approximations and error estimates for local Lévy-type models with default
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar Lévy-type stochasti…