Local and implied volatilities with the mixed-modified-fractional-Dupire model (Q2169607): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Local and implied volatilities with the mixed-modified-fractional-Dupire model |
scientific article |
Statements
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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