Stochastic volatility with heterogeneous time scales
نویسندگان
چکیده
منابع مشابه
Stochastic Volatility: Time Scales and Perturbations
Our goal is to address the following fundamental question in pricing and hedging derivatives. How traded call options, quoted in terms of implied volatilities, can be used to price and hedge more complicated contracts. One can approach this difficult problem in two different ways: modeling the evolution of the underlying or modeling the evolution of the implied volatility surface. In both cases...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2015
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2015.1024159