Stochastic Volatility Model with Time‐dependent Skew
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Publication:5312583
DOI10.1080/1350486042000297225zbMath1148.91021MaRDI QIDQ5312583
Publication date: 1 September 2005
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486042000297225
averaging principle; volatility smile; homogenisation; effective media; Stochastic volatility; volatility calibration; average skew; effective skew; effective volatility; skew calibration; time-dependent local volatility
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
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