Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration
Lorella Fatone; Francesca Mariani; Maria Cristina Recchioni; Francesco Zirilli
| Year of publication: |
2013
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|---|---|
| Authors: | Fatone, Lorella ; Mariani, Francesca ; Recchioni, Maria Cristina ; Zirilli, Francesco |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 1, p. 10-32
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| Subject: | Multiscale Stochastic Volatility Models | Option Pricing | Calibration Problem | FX Data | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010240231