Black–Scholes in a CEV random environment
نویسندگان
چکیده
منابع مشابه
Black-scholes in a Cev Random Environment: a New Approach to Smile Modelling
Classical (Itô diffusions) stochastic volatility models are not able to capture the steepness of smallmaturity implied volatility smiles. Jumps, in particular exponential Lévy and affine models, which exhibit small-maturity exploding smiles, have historically been proposed to remedy this (see [53] for an overview). A recent breakthrough was made by Gatheral, Jaisson and Rosenbaum [27], who prop...
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ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2018
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-018-0211-x