Fitting Local Volatility: Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models

DOI10.1080/14697688.2020.1829014zbMath1484.00023OpenAlexW3104785773MaRDI QIDQ5014186

Artem Dyachenko

Publication date: 1 December 2021

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2020.1829014

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) External book reviews (00A17)

Cites Work

• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility

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