Loading...
Please wait, while we are loading the content...
Similar Documents
Local volatility
| Content Provider | Scilit |
|---|---|
| Author | Bergomi, Lorenzo |
| Copyright Year | 2015 |
| Description | This chapter covers the simplest and most widely used stochastic volatility model: the local volatility model. Local volatility [37], [40] was introduced as an extension of the Black-Scholes model that can be exactly calibrated to the whole volatility surface σ̂KT . Book Name: Stochastic Volatility Modeling |
| Related Links | https://content.taylorfrancis.com/books/download?dac=C2013-0-27890-5&isbn=9780429170461&doi=10.1201/b19649-4&format=pdf |
| DOI | 10.1201/b19649-4 |
| Language | English |
| Publisher | Informa UK Limited |
| Publisher Date | 2015-12-16 |
| Access Restriction | Open |
| Subject Keyword | Book Name: Stochastic Volatility Modeling Applied Mathematics |
| Content Type | Text |
| Resource Type | Chapter |