摘要翻译：
考虑一种资产，其风险中性动力学由一般的局部随机波动率模型描述，得到了欧式期权价格和隐含波动率的一族渐近展开式。我们的隐含波动率扩张是显性的；它们不需要任何特殊函数，也不需要数值积分。为了说明我们的方法的准确性和通用性，我们在五种不同的模型动态下实现了它：CEV局部波动率，二次局部波动率，Heston随机波动率，$3/2$随机波动率和SABR局部随机波动率。
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英文标题：
《Explicit implied volatilities for multifactor local-stochastic
volatility models》
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作者：
Matthew Lorig, Stefano Pagliarani, Andrea Pascucci
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最新提交年份：
2014
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
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. 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 five different model dynamics: CEV local volatility, quadratic local volatility, Heston stochastic volatility, $3/2$ stochastic volatility, and SABR local-stochastic volatility.
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