2012•SSRN Electronic JournalOpen access

A Hybrid Stochastic Volatility Model Incorporating Local Volatility

Yu Tian, Zili Zhu, Fima C. Klebaner, Kaïs Hamza

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Key concepts: Stochastic volatility, Local volatility, Implied volatility, Volatility (finance), Forward volatility, Volatility smile, Volatility swap, Econometrics

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