A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives
Donghyun Kim, Mijin Ha, Jeong-Hoon Kim, Ji-Hun Yoon
| Year of publication: |
2024
|
|---|---|
| Authors: | Kim, Donghyun ; Ha, Mijin ; Kim, Jeong-Hoon ; Yoon, Ji-Hun |
| Published in: |
The quarterly review of economics and finance. - Amsterdam [u.a.] : Elsevier Science, ISSN 1062-9769, ZDB-ID 2002261-X. - Vol. 97.2024, Art.-No. 101901, p. 1-14
|
| 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 |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.qref.2024.101901 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015188448