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Stochastic Volatility Model with Time-dependent Skew 

Author: Vladimir V. Piterbarg ^a

Affiliation:

a Bank of America, 5 Canada Square, London, E14 5AQ, UK

DOI: 10.1080/1350486042000297225

Publication Frequency: 6 issues per year

Published in: Applied Mathematical Finance, Volume 12, Issue 2 June 2005 , pages 147 - 185

Subjects: Applied Mathematics; Business Mathematics; Finance; Financial Mathematics; Physics;

Number of References: 7

Formats available: HTML (English) : PDF (English)

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