A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives
Year of publication: |
2024
|
---|---|
Authors: | Kim, Donghyun ; Ha, Mijin ; Kim, Jeong-Hoon ; Yoon, Ji-Hun |
Subject: | Asymptotic analysis | Implied volatility | Mellin transform | Option data fitting | Stochastic-local volatility (SLV) | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Derivat | Derivative | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Black-Scholes-Modell | Black-Scholes model |
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