Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (Q470513): Difference between revisions
From MaRDI portal
Created a new Item |
Changed an Item |
||
Property / author | |||
Property / author: Sumit K. Garg / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H30 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 91B70 / rank | |||
Normal rank | |||
Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 62P05 / rank | |||
Normal rank | |||
Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 6368833 / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
displaced lognormal | |||
Property / zbMATH Keywords: displaced lognormal / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
displaced diffusion | |||
Property / zbMATH Keywords: displaced diffusion / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
implied volatility | |||
Property / zbMATH Keywords: implied volatility / rank | |||
Normal rank | |||
Property / zbMATH Keywords | |||
control variate | |||
Property / zbMATH Keywords: control variate / rank | |||
Normal rank |
Revision as of 17:29, 30 June 2023
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations |
scientific article |
Statements
Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (English)
0 references
12 November 2014
0 references
displaced lognormal
0 references
displaced diffusion
0 references
implied volatility
0 references
control variate
0 references