A market model for stochastic implied volatility
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Publication:4719408
DOI10.1098/rsta.1999.0418zbMath0963.91046OpenAlexW3125090498MaRDI QIDQ4719408
Publication date: 27 June 2001
Published in: Philosophical Transactions of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rsta.1999.0418
stochastic volatilityoption pricingsmile effectterm structure of volatilitystrike structure of volatility
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