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~isPartOf:"International Journal of Theoretical and Applied Finance (IJTAF)"
~subject:"volatility surface dynamics"
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volatility surface dynamics
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ALBANESE, CLAUDIO
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MIJATOVIĆ, ALEKSANDAR
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A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE
ALBANESE, CLAUDIO
;
MIJATOVIĆ, ALEKSANDAR
- In:
International Journal of Theoretical and Applied …
12
(
2009
)
06
,
pp. 877-899
a stochastic volatility model with jumps and local volatility, defined on a
continuous
time
lattice, which provides a …
Persistent link: https://www.econbiz.de/10008474825
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