Effective stochastic volatility: applications to ZABR-type models-Reference-Cited by-同舟云学术

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Effective stochastic volatility: applications to ZABR-type models

Published:2020-10-23 Issue:5 Volume:21 Page:837-852
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Felpel M.¹^ORCID,Kienitz J.¹²^ORCID,McWalter T. A.²³^ORCID

Affiliation:

1. Fachbereich Mathematik und Naturwissenschaften, Bergische Universtät Wuppertal, Wuppertal, Germany

2. African Institute of Financial Markets and Risk Management, University of Cape Town, Cape Town, South Africa

3. Department of Statistics, University of Johannesburg, Johannesburg, South Africa

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1814396

Reference33 articles.

1. MARKOVIAN PROJECTION ONTO A DISPLACED DIFFUSION: GENERIC FORMULAS WITH APPLICATIONS

2. Antonov, A., Arneguy, M. and Audet, N., Markovian projection to a displaced volatility Heston model. Available at SSRN, 2008.

Cited by 4 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Effective stochastic local volatility models;Quantitative Finance;2023-11-15

2. Girsanov, Numeraires, and All That;Cam El Quantitative;2022-10-20

3. Effective Markovian projection: application to CMS spread options and mid-curve swaptions;Quantitative Finance;2022-03-18

4. Effective Stochastic Local Volatility Models;SSRN Electronic Journal;2022

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