Option pricing: Smile at the uncertainty - The authors propose an intuitive stochastic volatility model that allows for consistent revaluation of an options book and the calculation of sensitivities.
| Year of publication: |
2004
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|---|---|
| Authors: | Brigo, Damiano ; Mercurio, Fabio ; Rapisarda, Francesco |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 17.2004, 5, p. 97-101
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