Showing 1 - 5 of 5
Persistent link: https://www.econbiz.de/10011547000
Persistent link: https://www.econbiz.de/10012127280
Persistent link: https://www.econbiz.de/10012194716
Persistent link: https://www.econbiz.de/10013167770
Stochastic Volatility Models (SVMs) are ubiquitous in quantitative finance. But is there a Markovian SVM capable of producing extreme (T^(-1/2)) short-dated implied volatility skew?We here propose a modification of a given SVM "backbone", Heston for instance, to achieve just this - without...
Persistent link: https://www.econbiz.de/10012834758