In this website, we collect some material, papers and Mathematica CDF files 
(get here the free CDF Player) on analytical approximation methods in option pricing.
The most recent results are universal approximation formulas for the 
Implied Vol in any Local-Stochastic volatility model. 
We have also studied a simplified approach to the approximation of the transition 
density in a general local volatility model for European and Asian options.

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- Implied vol for any local-stochastic vol model 
[by M. Lorig, S. Pagliarani and A. Pascucci]
Mathematica CDF

This notebook contains implied vol formulas for the following models:

– CEV local volatility
– Quadratic local volatility
– Heston stochastic volatility
– SABR local-stochastic volatility
– 3/2 stochastic volatility
– general local-stochastic vol models.
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-European options in local Lévy models [by S. Pagliarani, A. Pascucci and C. Riga]
-European options in local volatility models [by S. Pagliarani and A. Pascucci] 
Preprint "Analytical approximation of the transition density in a LV model" 
Mathematica CDF

-Approximations for LSV models with Jumps [by S. Pagliarani and A. Pascucci] 
Preprint "Approximation Formulas for Local Stochastic Volatility with Jumps"
Mathematica CDF
-Asian options in local volatility models [by P. Foschi, S. Pagliarani and A. Pascucci] 
Preprint "Black-Scholes formulae for Asian options in LV models" 
Mathematica CDF
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Feel free to contact the authors for any question concerning 
the preprints or the Mathematica code.
On request, we provide the Mathematica code for specific volatility models.
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The proposed methodology is sufficiently flexible to be extended
to much more general settings.
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We plan to put on this website other results and
the related Mathematica CDF files in the near future.


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