Effective stochastic local volatility models
Year of publication: |
2023
|
---|---|
Authors: | Felpel, Mike ; Kienitz, Jörg ; McWalter, Thomas A. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 12, p. 1731-1750
|
Subject: | Approximation formula | Heston | SABR | Stochastic local volatility | Stochastic volatility | ZABR | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Experiment |
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