Local volatility dynamic models
| Year of publication: |
2009
|
|---|---|
| Authors: | Carmona, René ; Nadtochiy, Sergey |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 1, p. 1-48
|
| Publisher: |
Springer |
| Subject: | Implied volatility surface | Local volatility surface | Market models | Arbitrage-free term structure dynamics | Heath–Jarrow–Morton theory |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10005613449