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IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY - MaRDI portal

IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY (Q3523562)

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IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY
scientific article

    Statements

    title
    IMPLIED AND LOCAL VOLATILITIES UNDER STOCHASTIC VOLATILITY (English)
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    author
    Roger W. Lee
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    publication date
    3 September 2008
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    zbMATH Keywords
    stochastic volatility
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    local volatility
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    implied volatility, volatility risk premium
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    skew
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    smile
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    Identifiers

    zbMATH DE Number
    5320115
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