SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL (Q2816963): Difference between revisions
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Latest revision as of 12:13, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL |
scientific article |
Statements
SWITCHING TO NONAFFINE STOCHASTIC VOLATILITY: A CLOSED-FORM EXPANSION FOR THE INVERSE GAMMA MODEL (English)
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26 August 2016
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stochastic volatility
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inverse gamma
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volatility expansion
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option pricing
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\(\log\)-normal
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mean-reverting SABR
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dynamic SABR
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