EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR...

EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL-STOCHASTIC VOLATILITY MODELS

Lorig, Matthew, Pagliarani, Stefano, Pascucci, Andrea
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Language:
english
Journal:
Mathematical Finance
DOI:
10.1111/mafi.12105
Date:
September, 2015
File:
PDF, 597 KB
english, 2015
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