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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