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Computing the implied volatility in stochastic volatility models

2004233 citationsJournal Article

Authors

Henri Berestycki · École des hautes études en sciences sociales

Jérôme Busca · Centre de Recherche en Mathématiques de la Décision

Igor Florent · HSBC Holdings

Topics & Keywords

Stochastic processes and financial applications Financial Risk and Volatility Modeling Complex Systems and Time Series Analysis

Publication Details

Published in: Communications on Pure and Applied Mathematics

Volume 57, Issue 10, pp. 1352-1373

DOI: 10.1002/cpa.20039

Field-Weighted Citation Impact: 3.21

Computing the implied volatility in stochastic volatility models | Researchclopedia