A local volatility correction to mean-reverting stochastic volatility model for pricing derivatives
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DOI: 10.1016/j.qref.2024.101901
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More about this item
Keywords
Stochastic-local volatility (SLV⁎); Asymptotic analysis; Mellin transform; Implied volatility; Option data fitting;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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