Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
| Year of publication: |
2012
|
|---|---|
| Authors: | Lee, Roger ; Wang, Dan |
| Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 2, p. 159-181
|
| Publisher: |
Springer |
| Subject: | Displaced lognormal | Displaced diffusion | Implied volatility | Control variate |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866516