Computing the implied volatility in stochastic volatility models
2004; Wiley; Volume: 57; Issue: 10 Linguagem: Inglês
10.1002/cpa.20039
ISSN1097-0312
AutoresHenri Berestycki, Jérôme Busca, Igor Florent,
Tópico(s)Complex Systems and Time Series Analysis
ResumoCommunications on Pure and Applied MathematicsVolume 57, Issue 10 p. 1352-1373 Computing the implied volatility in stochastic volatility models Henri Berestycki, Henri Berestycki hb@ehess.fr École des Hautes Études en Sciences Sociales, C.A.M.S., 54 Boulevard Raspail, 75270 Paris Cedex 06, FranceSearch for more papers by this authorJérôme Busca, Jérôme Busca jerome.busca@normalesup.org CNRS and Université Paris Dauphine, CEREMADE, Place Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16, FranceSearch for more papers by this authorIgor Florent, Igor Florent igor.florent@ccf.com HSBC CCF 103 Avenue des Champs-Elysées, 75419 Paris Cedex 08, FranceSearch for more papers by this author Henri Berestycki, Henri Berestycki hb@ehess.fr École des Hautes Études en Sciences Sociales, C.A.M.S., 54 Boulevard Raspail, 75270 Paris Cedex 06, FranceSearch for more papers by this authorJérôme Busca, Jérôme Busca jerome.busca@normalesup.org CNRS and Université Paris Dauphine, CEREMADE, Place Maréchal de Lattre de Tassigny, 75775 Paris Cedex 16, FranceSearch for more papers by this authorIgor Florent, Igor Florent igor.florent@ccf.com HSBC CCF 103 Avenue des Champs-Elysées, 75419 Paris Cedex 08, FranceSearch for more papers by this author First published: 26 July 2004 https://doi.org/10.1002/cpa.20039Citations: 146AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onFacebookTwitterLinked InRedditWechat Citing Literature Volume57, Issue10October 2004Pages 1352-1373 RelatedInformation
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