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EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS

Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
  • 期刊名称Mathematical Finance
  • 作者Lorig, Matthew; Pagliarani, Stefano; Pascucci, Andrea
  • 印刷ISSN0960-1627
  • 文件大小596.89KB
  • 发表时间2015-09
  • DOI10.1111/mafi.12105
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