The Term Structure of Implied Volatility
In: Option Valuation under Stochastic Volatility
This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.
|This chapter was published in: ||This item is provided by Finance Press in its series Option Valuation under Stochastic Volatility with number
ch6.||Handle:|| RePEc:vsv:svbook:ch6||Note:|| Fig.6.6 curves are correctly labeled 'rho', not 'r' in the printed book.||Contact details of provider:|| Phone: (949)720-9614|
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