A chaos expansion approach under hybrid volatility models
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Publication:5247273
DOI10.1080/14697688.2013.872283zbMath1402.91778OpenAlexW2022754748MaRDI QIDQ5247273
Publication date: 23 April 2015
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2013.872283
Black-Scholes modelHermite polynomialsuccessive substitutionWiener-Ito chaos expansionhybrid stochastic and local volatility modelsmile and skew
Derivative securities (option pricing, hedging, etc.) (91G20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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