✦ LIBER ✦

The exact smile of certain local volatility models

✍ Scribed by Lorig, Matthew

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOC

✍ Jim Gatheral; Elton P. Hsu; Peter Laurence; Cheng Ouyang; Tai-Ho Wang 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 324 KB

THE NORMALIZING TRANSFORMATION OF THE IM

✍ Masaaki Fukasawa 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 92 KB

On refined volatility smile expansion in

✍ Friz, Peter; Gerhold, Stefan; Gulisashvili, Archil; Sturm, Stephan 📂 Article 📅 2011 🏛 Taylor and Francis Group 🌐 English ⚖ 315 KB

Option Bounds and the Pricing of the Vol

✍ Jean Masson; Stylianos Perrakis 📂 Article 📅 2000 🏛 Springer US 🌐 English ⚖ 204 KB

Local volatility of volatility for the V

✍ Gabriel Drimus, Walter Farkas 📂 Article 📅 2013 🏛 Springer US 🌐 English ⚖ 539 KB

The Small-Time Smile and Term Structure

✍ Forde, Martin; Jacquier, Antoine; Lee, Roger 📂 Article 📅 2012 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 333 KB