Local volatility calibration during turbulent periods
Year of publication: |
2015
|
---|---|
Authors: | Skindilias, Konstantinos ; Lo, Chia Chun |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 44.2015, 3, p. 425-444
|
Subject: | Markov chain approximation | Local volatility | Jump-diffusions | Cubic splines | Option pricing | Hedging | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model |
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