Local volatility calibration during turbulent periods
Year of publication: |
2015
|
---|---|
Authors: | Skindilias, Konstantinos ; Lo, Chia |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 44.2015, 3, p. 425-444
|
Publisher: |
Springer |
Subject: | Markov chain approximation | Local volatility | Jump–diffusions | Cubic splines | Option pricing | Hedging |
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