Explicit implied volatilities for multifactor local-stochastic volatility models (Q5283408)
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scientific article; zbMATH DE number 6751211
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| English | Explicit implied volatilities for multifactor local-stochastic volatility models |
scientific article; zbMATH DE number 6751211 |
Statements
EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS (English)
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21 July 2017
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implied volatility
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local-stochastic volatility
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CEV
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Heston
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SABR
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0.8346520662307739
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0.8314303159713745
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0.8245921730995178
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0.8158185482025146
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0.814871072769165
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