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Short Communication: Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles (2021)

First Author: Amrani M

Attributed to: Rough Volatility: A Trojan horse into modern Financial computing funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1137/20m136089x

Publication URI: http://dx.doi.org/10.1137/20m136089x

Type: Journal Article/Review

Parent Publication: SIAM Journal on Financial Mathematics

Issue: 2