Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations

DOI10.1007/s10436-009-0145-7zbMath1298.60068OpenAlexW2058635507MaRDI QIDQ470513

J. Herrera, Sumit K. Garg

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-009-0145-7

zbMATH Keywords

implied volatilitycontrol variatedisplaced diffusiondisplaced lognormal

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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