Asymptotics and calibration of local volatility models
Authors:
H. Berestycki a;
J. Busca b;
I. Florent c
| Affiliations: | a CAMS, Ecole des Hautes tudes en Sciences Sociales, Raspail, Paris Cedex 06, France |
b Ceremade, Universit Paris Dauphine, Ny Munkegade, Paris Cedex 06, France |
|
| c HSBC-CCF, Paris Cedex 08, France |
DOI:
10.1088/1469-7688/2/1/305
Publication Frequency:
8 issues per year
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tudes en Sciences Sociales, Raspail, Paris Cedex 06, France
Paris Dauphine, Ny Munkegade, Paris Cedex 06, France