Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations (Q470513): Difference between revisions
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| Property / author | |||
| Property / author: Sumit K. Garg / rank | |||
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| Property / Mathematics Subject Classification ID: 60H30 / rank | |||
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| Property / Mathematics Subject Classification ID: 91B70 / rank | |||
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| Property / Mathematics Subject Classification ID | |||
| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / zbMATH DE Number | |||
| Property / zbMATH DE Number: 6368833 / rank | |||
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| Property / zbMATH Keywords | |||
displaced lognormal | |||
| Property / zbMATH Keywords: displaced lognormal / rank | |||
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displaced diffusion | |||
| Property / zbMATH Keywords: displaced diffusion / rank | |||
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implied volatility | |||
| Property / zbMATH Keywords: implied volatility / rank | |||
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control variate | |||
| Property / zbMATH Keywords: control variate / rank | |||
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Revision as of 16:29, 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)
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12 November 2014
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displaced lognormal
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displaced diffusion
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implied volatility
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control variate
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