Explicit implied volatilities for multifactor local-stochastic volatility models
Year of publication: |
July 2017
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Authors: | Lorig, Matthew ; Pagliarani, Stefano ; Pascucci, Andrea |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 27.2017, 3, p. 926-960
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Subject: | implied volatility | local-stochastic volatility | CEV | Heston | SABR | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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