EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS
Author:
Affiliation:
1. Department of Applied Mathematics; University of Washington
2. CMAP; Ecole Polytechnique
3. Dipartimento di Matematica; Università di Bologna
Funder
Chair Financial Risks of the Risk Foundation
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12105/fullpdf
Reference47 articles.
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2. Moment Explosions in Stochastic Volatility models;Andersen;Finance Stoch,2007
3. Antonov , A. M. Spector 2012 Advanced Analytics for the Sabr Model
4. Baldeaux , J. A. Badran 2012 Consistent Modeling of Vix and Equity Derivatives Using a 3/2 Plus Jumps Model
5. Time Dependent Heston Model;Benhamou;SIAM J. Financ. Math,2010
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