Stochastic Volatility Models: Faking a Smile

DOI10.1142/9789811202391_0033zbMath1454.91286OpenAlexW3080757541MaRDI QIDQ5139439

Oleg Sokolinskiy, Dean Diavatopoulos

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0033

zbMATH Keywords

stochastic volatilityoption pricingcalibrationrealized variationimplied volatility smile/skew/surface

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Stochastic local volatility models and the Wei-Norman factorization method

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