Stochastic Volatility Model with Time-dependent Skew
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References listed on IDEAS
- Alan L. Lewis, 2000. "Option Valuation under Stochastic Volatility," Option Valuation under Stochastic Volatility, Finance Press, number ovsv, June.
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- Emmanuel Gobet & Ali Suleiman, 2013. "New approximations in local volatility models," Post-Print hal-00523369, HAL.
- Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
- Dell'Era, Mario, 2010. "Geometrical Considerations on Heston's Market Model," MPRA Paper 21523, University Library of Munich, Germany.
- Dell'Era, Mario, 2010. "Vanilla Option Pricing on Stochastic Volatility market models," MPRA Paper 25645, University Library of Munich, Germany.
- Leif Andersen & Vladimir Piterbarg, 2007. "Moment explosions in stochastic volatility models," Finance and Stochastics, Springer, vol. 11(1), pages 29-50, January.
- Dell'Era, Mario, 2010. "Geometrical Approximation method and stochastic volatility market models," MPRA Paper 22568, University Library of Munich, Germany.
More about this item
KeywordsStochastic volatility; volatility smile; time-dependent local volatility; effective volatility; effective skew; average skew; homogenization; averaging principle; effective media; forward Libor model; Libor market model; LMM; BGM; volatility calibration; skew calibration;
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