Stochastic Volatility Model with Time‐dependent Skew (Q5312583): Difference between revisions
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scientific article; zbMATH DE number 2200811
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic Volatility Model with Time‐dependent Skew |
scientific article; zbMATH DE number 2200811 |
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Stochastic Volatility Model with Time‐dependent Skew (English)
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1 September 2005
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Stochastic volatility
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volatility smile
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time-dependent local volatility
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effective volatility
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effective skew
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average skew
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homogenisation
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averaging principle
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effective media
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volatility calibration
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skew calibration
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