OPTION PRICING Smile dynamics II - In a previous Risk article, Lorenzo Bergomi highlighted how traditional stochastic volatility and jump-Lévy models impose structural constraints on the relationship between the forward skew, the spot-volatility correlation and the term structure of the volatility of volatility. Here, he proposes a model that enables them to be controlled separately and also ...
| Year of publication: |
2005
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| Authors: | Bergomi, Lorenzo |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 18.2005, 10, p. 67-73
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