Stochastic volatility models: calibration, pricing and hedging
Stochastic volatility models have long provided a popular alternative to the Black- Scholes-Merton framework. They provide, in a self-consistent way, an explanation for the presence of implied volatility smiles/skews seen in practice. Incorporating jumps into the stochastic volatility framework g...
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| Format: | Others |
| Language: | en |
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2012
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| Online Access: | http://hdl.handle.net/10539/11991 |