Spectral methods for volatility derivatives (Q3182744)

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Spectral methods for volatility derivatives
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    title
    Spectral methods for volatility derivatives (English)
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    author
    Claudio Albanese
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    Harry Lo
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    Aleksandar Mijatović
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    publication date
    16 October 2009
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    Mathematics Subject Classification ID
    91G20
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    91G60
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    65M70
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    zbMATH DE Number
    5616502
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    zbMATH Keywords
    volatility modeling
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    volatility smile fitting
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    volatility surfaces
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    stochastic volatility quantitative finance
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