Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations

DOI10.1007/s10436-009-0145-7zbMath1298.60068MaRDI QIDQ470513

J. Herrera, Sumit K. Garg

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-009-0145-7

zbMATH Keywords

implied volatility; control variate; displaced diffusion; displaced lognormal

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91B70: Stochastic models in economics

60H30: Applications of stochastic analysis (to PDEs, etc.)