Testing the local volatility assumption: a statistical approach
| Year of publication: |
2012
|
|---|---|
| Authors: | Podolskij, Mark ; Rosenbaum, Mathieu |
| Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 1, p. 31-48
|
| Publisher: |
Springer |
| Subject: | Local volatility models | Stochastic volatility models | Test statistics | Semi-martingales | Limit theorems |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866504