An expanded Local Variance Gamma model
Year of publication: |
2021
|
---|---|
Authors: | Carr, Peter ; Itkin, Andrey |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 57.2021, 4, p. 949-987
|
Subject: | Local volatility | Stochastic clock | Gamma distribution | Piecewise linear variance | Variance Gamma process | Closed form solution | Fast calibration | No-arbitrage | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution |
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