A chaos expansion approach under hybrid volatility models (Q5247273)
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scientific article; zbMATH DE number 6429539
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A chaos expansion approach under hybrid volatility models |
scientific article; zbMATH DE number 6429539 |
Statements
A chaos expansion approach under hybrid volatility models (English)
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23 April 2015
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hybrid stochastic and local volatility model
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Wiener-Ito chaos expansion
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Hermite polynomial
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successive substitution
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smile and skew
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Black-Scholes model
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