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Stochastic local volatility

Alexander, C. and Nogueira, L. (2004) Stochastic local volatility. In: Second international IASTED conference on financial engineering and applications, 8-10 November, 2004, Massachusetts Institute of Technology, Cambridge, USA.

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Official URL: http://www.actapress.com/Abstract.aspx?paperId=176...


Item Type:Conference or Workshop Item (Paper)
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:21260
Uncontrolled Keywords:Option pricing and hedging, stochastic local volatility, implied volatility, smile-consistent models

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