The forward smile in local-stochastic volatility models
Year of publication: |
February 2017
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Authors: | Mazzon, Andrea ; Pascucci, Andrea |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 3, p. 1-29
|
Subject: | forward implied volatility | cliquet option | local volatility | stochastic volatility | analytical approximation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading | Währungsderivat | Currency derivative |
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