Local and implied volatilities with the mixed-modified-fractional-Dupire model (Q2169607): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1016/j.chaos.2021.111328 / rank
 
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Latest revision as of 23:47, 29 July 2024

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Local and implied volatilities with the mixed-modified-fractional-Dupire model
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    Local and implied volatilities with the mixed-modified-fractional-Dupire model (English)
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    29 August 2022
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    Hurst coefficient
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    option pricing
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    surface volatility
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    Mellin transform
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    local volatility
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