Black-Scholes in a CEV Random Environment: A New Approach to Smile Modelling (2015)

First Author: Jacquier A
Attributed to:  Asymptotics and dynamics of forward implied volatility funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.2139/ssrn.2586055

Publication URI: http://dx.doi.org/10.2139/ssrn.2586055

Type: Journal Article/Review

Parent Publication: SSRN Electronic Journal