An expanded Local Variance Gamma model
P. Carr, A. Itkin
| Year of publication: |
2021
|
|---|---|
| Authors: | Carr, Peter ; Itkin, Andrey |
| Subject: | Local volatility | Stochastic clock | Gamma distribution | Piecewise linear variance | Variance Gamma process | Closed form solution | Fast calibration | No-arbitrage | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-020-10000-w [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012543243