Switching to nonaffine stochastic volatility : a closed-form expansion for the inverse gamma model
Nicolas Langrené, Geoffrey Lee and Zili Zhu (Real Options and Financial Risk, CSIRO, Clayton, Victoria, Australia)
| Year of publication: |
August 2016
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| Authors: | Langrené, Nicolas ; Lee, Geoffrey ; Zhu, Zili |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 19.2016, 5, p. 1-37
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| Subject: | Stochastic volatility | inverse gamma | volatility expansion | option pricing | log-normal | mean-reverting SABR | dynamic SABR | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S021902491650031X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011525109