Local volatility function models under a benchmark approach (Q5484644)
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scientific article; zbMATH DE number 5047893
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| English | Local volatility function models under a benchmark approach |
scientific article; zbMATH DE number 5047893 |
Statements
Local volatility function models under a benchmark approach (English)
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21 August 2006
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local volatility function
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index derivatives
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growth optimal portfolio
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benchmark approach
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fair pricing
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dupire formula
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modified cev model
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minimal market model
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0.9145627
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0.9141396
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0.90829474
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0.9056948
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0.9054241
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0.90351063
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0.90265137
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0.90086174
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