Archil Gulisashvili

Ohio University

Professor

Athens, OH 45701-2979

United States

SCHOLARLY PAPERS

5

DOWNLOADS

378

SSRN CITATIONS

5

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Mass at Zero in the Uncorrelated SABR Model and Implied Volatility Asymptotics

Number of pages: 15 Posted: 13 Feb 2015 Last Revised: 29 Nov 2016
Archil Gulisashvili, Blanka Horvath and Antoine (Jack) Jacquier
Ohio University, ETH Z├╝rich - Department of Mathematics and Imperial College London
Downloads 325 (113,567)
Citation 6

Abstract:

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SABR model, asymptotic expansions, implied volatility

2.

Time-Inhomogeneous Gaussian Stochastic Volatility Models: Large Deviations and Super Roughness

Number of pages: 43 Posted: 07 May 2020 Last Revised: 31 Dec 2020
Archil Gulisashvili
Ohio University
Downloads 20 (621,941)
Citation 1

Abstract:

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Gaussian stochastic volatility models, super rough models, sample path large deviation principle, logarithmic model, binary up-and-in barrier options, binary call options

3.

Gaussian Stochastic Volatility Models: Scaling Regimes, Large Deviations, and Moment Explosions

Number of pages: 40 Posted: 29 Apr 2019 Last Revised: 16 Jun 2019
Archil Gulisashvili
Ohio University
Downloads 19 (628,714)
Citation 3

Abstract:

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Gaussian stochastic volatility models, Volterra type models, sample path large and moderate deviations, central limit regime, moment explosions, implied volatility asymptotics

4.
Downloads 14 (664,409)

Abstract:

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stochastic volatility models with reflection, reflecting diffusions, large deviation principles, binary barrier options, call pricing functions.

5.

High-Order Approximations to Call Option Prices in the Heston Model

Journal of Computational Finance, Vol. 24, No. 1, 2020
Number of pages: 20 Posted: 19 Jan 2021
Archil Gulisashvili, Marc Lagunas, Raul Merino and Josep Vives
Ohio University, University of Oslo - Department of Mathematics, University of Barcelona - Faculty of Mathematics and University of Barcelona
Downloads 0 (787,713)
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Abstract:

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computational finance, Heston model, option pricing, price approximations, stochastic volatility models, vanilla options