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From local volatility to local Lvy 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

Published in: Quantitative Finance, Volume 4, Issue 5 October 2004 , pages 581 - 588

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Number of References: 25

Formats available: PDF (English)

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