Stochastic Volatility Model with Time‐dependent Skew

DOI10.1080/1350486042000297225zbMath1148.91021OpenAlexW2027451107WikidataQ126256191 ScholiaQ126256191MaRDI QIDQ5312583

Vladimir V. Piterbarg

Publication date: 1 September 2005

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486042000297225

zbMATH Keywords

averaging principlevolatility smilehomogenisationeffective mediaStochastic volatilityvolatility calibrationaverage skeweffective skeweffective volatilityskew calibrationtime-dependent local volatility

Mathematics Subject Classification ID

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