Option pricing for stochastic volatility models: vol-of-vol expansion (Q2940778)
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scientific article; zbMATH DE number 6388341
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| default for all languages | No label defined |
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| English | Option pricing for stochastic volatility models: vol-of-vol expansion |
scientific article; zbMATH DE number 6388341 |
Statements
Option Pricing for Stochastic Volatility Models: Vol-of-Vol Expansion (English)
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20 January 2015
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stochastic volatility
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log-normal model
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Fourier transform
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expansion
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volatility of volatility
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European options
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implied volatility
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0.8338411450386047
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0.8332920670509338
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0.833211362361908
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0.8285826444625854
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0.824891209602356
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