On the Curvature of the Smile in Stochastic Volatility Models (Q5280242)
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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)
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20 July 2017
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anticipating Itô's formula
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Malliavin calculus
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Hull and White formula
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stochastic volatility models
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fractional Brownian motion
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