R-2GAM stochastic volatility model : flexibility and calibration
Cheng-Few Lee, Oleg Sokolinskiy
| Year of publication: |
October 2015
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|---|---|
| Authors: | Lee, Cheng F. ; Sokolinskiy, Oleg |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 45.2015, 3, p. 463-483
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| Subject: | Stochastic volatility | Implied volatility smile | Calibration | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-014-0443-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011531991