Local Stochastic Volatility—The Hyp-Hyp Model
Volatility modelling is used predominantly in order to explain the volatility smile observed in the market. Stochastic volatility models are mainly used to capture the curvature of a volatility smile while local volatility models generally model the skew. Jackel and Kahl ¨ (2008) present a hyperboli...
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| Format: | Dissertation |
| Language: | English |
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Faculty of Commerce
2021
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| Online Access: | http://hdl.handle.net/11427/32556 |