Effective stochastic volatility : applications to ZABR-type models
M. Felpel, J. Kienitz and T.A. McWalter
| Year of publication: |
2021
|
|---|---|
| Authors: | Felpel, Mike ; Kienitz, Jörg ; McWalter, Thomas A. |
| Subject: | Approximation formula | Effective PDE | Free boundary ZABR | Mean-reverting ZABR | SABR | Stochastic volatility | ZABR | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | CAPM | Optionspreistheorie | Option pricing theory |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2020.1814396 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012500196