Stochastic Volatility Model with Time‐dependent Skew

DOI10.1080/1350486042000297225zbMath1148.91021WikidataQ126256191 ScholiaQ126256191MaRDI QIDQ5312583

Vladimir V. Piterbarg

Publication date: 1 September 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000297225

zbMATH Keywords

averaging principle; volatility smile; homogenisation; effective media; Stochastic volatility; volatility calibration; average skew; effective skew; effective volatility; skew calibration; time-dependent local volatility

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

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