Simulation of Implied Volatility Surfaces via Tangent Lévy Models (Q5266358)
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scientific article; zbMATH DE number 6725622
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Simulation of Implied Volatility Surfaces via Tangent Lévy Models |
scientific article; zbMATH DE number 6725622 |
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Simulation of Implied Volatility Surfaces via Tangent Lévy Models (English)
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2 June 2017
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implied volatility
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Monte Carlo simulation
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market-based models
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tangent Lévy models
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portfolio optimization
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