Stochastic Local Volatility
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World Scientific Publishing Co. Pte. Ltd..
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- Antonie Kotzé & Rudolf Oosthuizen & Edson Pindza, 2015. "Implied and Local Volatility Surfaces for South African Index and Foreign Exchange Options," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 8(1), pages 1-40, January.
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- repec:hal:wpaper:hal-00786239 is not listed on IDEAS
More about this item
KeywordsLocal volatility; stochastic volatility; unified theory of volatility; local volatility dynamics;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
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