Local volatility changes in the black-scholes model
Year of publication: |
1999-09
|
---|---|
Authors: | Bermin, Hans Peter ; Kohatsu, Arturo |
Institutions: | Department of Economics and Business, Universitat Pompeu Fabra |
Subject: | Contingent claims | hedging | local Vega index | Malliavin calculus | stochastic flows |
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