TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (Q3086258)
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scientific article; zbMATH DE number 5871442
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| English | TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION |
scientific article; zbMATH DE number 5871442 |
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TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION (English)
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30 March 2011
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market models
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Heath-Jarrow-Morton approach
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implied volatility
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local volatility
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tangent Lévy models
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0.8258912
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0.8121555
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0.81168437
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