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Stochastic Local Volatility · Study

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PreprintStochastic Local Volatility

Carol Alexander2008

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Preprintgreen2008

Stochastic Local Volatility

Carol Alexander · Leonardo M. Nogueira

47 citations·0/0 files stored·SSRN Electronic Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1989Why Does Stock Market Volatility Change Over Time?1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1978Prices of State-Contingent Claims Implicit in Option Prices 1994Implied Binomial Trees 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach 1998Implied Volatility Functions: Empirical Tests

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2015Calibrating and Pricing with a Stochastic-Local Volatility Model

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Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations47

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1107685

openalex_workW1748128690

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