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Smile Dynamics IV · Study

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PreprintSmile Dynamics IV

Lorenzo Bergomi2009

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Preprintgreen2009

Smile Dynamics IV

Lorenzo Bergomi

107 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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2016Short-time at-the-money skew and rough fractional volatility 2019Lifting the Heston model 2008Consistent Modeling of SPX and VIX options 2014Consistent Modelling of VIX and Equity Derivatives Using a 3/2 plus Jumps Model 2017Smoothing properties of McKean–Vlasov SDEs 2020Volatility has to be rough 2011Implied Volatility Surface: Construction Methodologies and Characteristics 2009VIX option pricing

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations107

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.2139/ssrn.1520443

openalex_workW2104806592

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