The Generalized Local Volatility Modelling Framework
Year of publication: |
2018
|
---|---|
Authors: | Gourion, Bernard Philippe |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Modellierung | Scientific modelling |
Extent: | 1 Online-Ressource (25 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 8, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3110542 [DOI] |
Classification: | G12 - Asset Pricing ; C6 - Mathematical Methods and Programming |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Calibrating and Pricing with a Stochastic-Local Volatility Model
Tian, Yu, (2015)
-
Local Stochastic Volatility Models : Calibration and Pricing
Homescu, Cristian, (2014)
-
Pricing Barrier and American Options under the SABR model on the GPU
Tian, Yu, (2011)
- More ...
-
Gourion, Bernard Philippe, (2022)
-
Model Free Arbitrability Bounds for the Implied Volatility
Gourion, Bernard Philippe, (2023)
- More ...