ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE') (Q3523587)
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scientific article
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| English | ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE') |
scientific article |
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ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE') (English)
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3 September 2008
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implied trees
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stochastic local volatility
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exotic options
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Vega hedging
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skew models
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market incompleteness
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0.7976762652397156
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0.781714677810669
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0.7808085680007935
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0.7592313289642334
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0.7551536560058594
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