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Effective stochastic local volatility models
Quantitative Finance ( IF 1.3 ) Pub Date : 2023-12-20 , DOI: 10.1080/14697688.2023.2271514
M. Felpel 1 , J. Kienitz 1, 2 , T.A. McWalter 2, 3
Affiliation  

If a high degree of accuracy and market consistency is required for option pricing, stochastic local volatility models are often the approach of choice. When calibrating these types of models, one ...

中文翻译:

有效的随机局部波动率模型

如果期权定价需要高度的准确性和市场一致性,则通常选择随机局部波动率模型。在校准这些类型的模型时,一...
更新日期:2023-12-20
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