APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (Q5358059)
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scientific article; zbMATH DE number 6776140
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH |
scientific article; zbMATH DE number 6776140 |
Statements
APPROXIMATING LOCAL VOLATILITY FUNCTIONS OF STOCHASTIC VOLATILITY MODELS: A CLOSED-FORM EXPANSION APPROACH (English)
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19 September 2017
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local volatility functions
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stochastic volatility models
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closed-form expansion
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