EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS

DOI10.1111/mafi.12105zbMath1422.91713arXiv1306.5447OpenAlexW3126075830MaRDI QIDQ5283408

Matthew Lorig, Stefano Pagliarani, Andrea Pascucci

Publication date: 21 July 2017

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.5447

zbMATH Keywords

implied volatilityHestonCEVSABRlocal-stochastic volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

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