On the Curvature of the Smile in Stochastic Volatility Models (Q5280242)
From MaRDI portal
scientific article; zbMATH DE number 6750533
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Curvature of the Smile in Stochastic Volatility Models |
scientific article; zbMATH DE number 6750533 |
Statements
On the Curvature of the Smile in Stochastic Volatility Models (English)
0 references
20 July 2017
0 references
anticipating Itô's formula
0 references
Malliavin calculus
0 references
Hull and White formula
0 references
stochastic volatility models
0 references
fractional Brownian motion
0 references
