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From local volatility to local L
vy models
Authors:
Peter Carr a;
Helyette Geman b;
Dilip B. Madan c;
Marc Yor d
| Affiliations: | a Courant Institute, New York University, USA |
b Universit Paris-Dauphine and ESSEC, France |
|
| c Robert H Smith School of Business, University of Maryland, USA | |
| d Laboratoire de Probabilitis et Modles alatoires Universit Paris VI and Universit Paris VII, France |
DOI:
10.1080/14697680400000039
Publication Frequency:
8 issues per year
Number of References: 25
Formats available:
PDF
(English)
