HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS (Q5369447)
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scientific article; zbMATH DE number 6792312
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS |
scientific article; zbMATH DE number 6792312 |
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HISTORICAL BACKTESTING OF LOCAL VOLATILITY MODEL USING AUD/USD VANILLA OPTIONS (English)
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17 October 2017
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local volatility model
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backtesting
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model validation
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foreign exchange options
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implied volatility
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