Computing the implied volatility in stochastic volatility models

被引：93

作者：

Berestycki, H

Busca, J

Florent, I

机构：

[1] Ecole Hautes Etudes & Sci Sociales, CAMS, F-75270 Paris 06, France

[2] CNRS, F-75700 Paris 16, France

[3] Univ Paris 09, F-75775 Paris 16, France

来源：

COMMUNICATIONS ON PURE AND APPLIED MATHEMATICS | 2004年 / 57卷 / 10期

关键词：

D O I：

10.1002/cpa.20039

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

[No abstract available]

引用

页码：1352 / 1373

页数：22

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