2011•Annals of FinanceRequires access

Testing the local volatility assumption: a statistical approach

Mark Podolskij, Mathieu Rosenbaum

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Key concepts: Volatility (finance), Stochastic volatility, Econometrics, Local volatility, SABR volatility model, Implied volatility, Volatility smile, Economics

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Testing the local volatility assumption: a statistical approach — Research Paper | ScholarLens