The forward smile in local-stochastic volatility models
Andrea Mazzon and Andrea Pascucci
| Year of publication: |
February 2017
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|---|---|
| Authors: | Mazzon, Andrea ; Pascucci, Andrea |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 3, p. 1-29
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| Subject: | forward implied volatility | cliquet option | local volatility | stochastic volatility | analytical approximation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Optionsgeschäft | Option trading | Währungsderivat | Currency derivative | Zinsstruktur | Yield curve |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2016.319 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011689675