On the Skew and Curvature of the Implied and Local Volatilities (Q6092915)
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scientific article; zbMATH DE number 7769891
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| default for all languages | No label defined |
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| English | On the Skew and Curvature of the Implied and Local Volatilities |
scientific article; zbMATH DE number 7769891 |
Statements
On the Skew and Curvature of the Implied and Local Volatilities (English)
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23 November 2023
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stochastic volatility
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local volatility
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rough volatility
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Malliavin calculus
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0.89633644
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0.8962169
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0.89555997
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0.88934106
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0.88525975
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0.87958455
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0.8740467
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0.87302333
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0.8728504
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0.8703165
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