A General Valuation Framework for SABR and Stochastic Local Volatility Models
Year of publication: |
2019
|
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Authors: | Cui, Zhenyu |
Other Persons: | Kirkby, Justin (contributor) ; Nguyen, Duy (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | ARCH-Modell | ARCH model |
Extent: | 1 Online-Ressource (44 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 24, 2018 erstellt |
Classification: | G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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