Stochastic Volatility Model with Time-dependent Skew
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Emmanuel Gobet & Ali Suleiman, 2013. "New approximations in local volatility models," Post-Print hal-00523369, HAL.
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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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