48 citations · 88 across the 27 of their papers we have counts for
6 papers · 1 filter
A family of density expansions for Lévy-type processes
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
We consider a defaultable asset whose risk-neutral pricing dynamics are described by an exponential Levy-type martingale subject to default. This class of models allows for local v…
Analytical expansions for parabolic equations
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
We consider the Cauchy problem associated with a general parabolic partial differential equation in dimensions. We find a family of closed-form asymptotic approximations for th…
Small-time asymptotics for a general local-stochastic volatility model with a jump-to-default: curvature and the heat kernel expansion
John Armstrong, Martin Forde, Matthew Lorig +1
We compute a sharp small-time estimate for implied volatility under a general uncorrelated local-stochastic volatility model. For this we use the Bellaiche \cite{Bel81} heat kernel…
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…