TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
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Publication:3086258
DOI10.1142/S0219024911006280zbMath1208.91169MaRDI QIDQ3086258
Sergey Nadtochiy, René A. Carmona
Publication date: 30 March 2011
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024911006280
market models; implied volatility; local volatility; Heath-Jarrow-Morton approach; tangent Lévy models
60G51: Processes with independent increments; Lévy processes
91G80: Financial applications of other theories
91G20: Derivative securities (option pricing, hedging, etc.)
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