Some explicitly solvable SABR and multiscale SABR models : option pricing and calibration
Year of publication: |
2013
|
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Authors: | Fatone, Lorella ; Mariani, Francesca ; Recchioni, Maria Cristina ; Zirilli, Francesco |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 3.2013, 1, p. 10-32
|
Subject: | Multiscale Stochastic Volatility Models | Option Pricing | Calibration Problem | FX Data | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Experiment |
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