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20102024
most citedSmoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions

32 citations · 42 across the 8 of their papers we have counts for

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q-fin.PR2010★ 1 cited

Bounds on Stock Price probability distributions in Local-Stochastic Volatility models

Vlad Bally, Stefano De Marco

We show that in a large class of stochastic volatility models with additional skew-functions (local-stochastic volatility models) the tails of the cumulative distribution of the lo…