Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
Local Stochastic Volatility—The Hyp-Hyp Model
Volatility modelling is used predominantly in order to explain the volatility smile observed in the market. Stochastic volatility models are mainly used to capture the curvature of a volatility smile while local volatility models generally model the skew. Jackel and Kahl ¨ (2008) present a hyperboli...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
African Institute of Financial Markets and Risk Management
2021
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!