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Stochastic volatility – introduction
| Content Provider | Scilit |
|---|---|
| Author | Bergomi, Lorenzo |
| Copyright Year | 2015 |
| Description | Chapter 2 was devoted to local volatility, a very constrained form of stochastic volatility: implied volatilities have 100% correlation among themselves and with S, and their volatilities are determined by the market smile used for calibration of the model. Volatilities of implied volatilities – as generated by the model – will likely bear no resemblance to conservative levels based on historically observed volatilities of implied volatilities, or to implied volatilities of volatilities, whenever they are observable. Book Name: Stochastic Volatility Modeling |
| Related Links | https://content.taylorfrancis.com/books/download?dac=C2013-0-27890-5&isbn=9780429170461&doi=10.1201/b19649-6&format=pdf |
| Ending Page | 166 |
| Page Count | 18 |
| Starting Page | 149 |
| DOI | 10.1201/b19649-6 |
| Language | English |
| Publisher | Informa UK Limited |
| Publisher Date | 2015-12-16 |
| Access Restriction | Open |
| Subject Keyword | Book Name: Stochastic Volatility Modeling Finance Market Stochastic Volatility Devoted Implied Volatilities |
| Content Type | Text |
| Resource Type | Chapter |