Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations
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References listed on IDEAS
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More about this item
KeywordsDisplaced lognormal; Displaced diffusion; Implied volatility; Control variate; C6; G1;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- G1 - Financial Economics - - General Financial Markets
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