Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 8 (2012)
Issue (Month): 2 (May)
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Web page: http://www.springerlink.com/link.asp?id=112370
Displaced lognormal; Displaced diffusion; Implied volatility; Control variate; C6; G1;
Find related papers by JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G1 - Financial Economics - - General Financial Markets
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