2015•SSRN Electronic JournalOpen access

Switching to Non-Affine Stochastic Volatility: A Closed-Form Expansion for the Inverse Gamma Model

Nicolas Langrené, Geoffrey Lee, Zili Zhu

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Key concepts: Stochastic volatility, Inverse, Affine transformation, Mathematics, Applied mathematics, Volatility (finance), Econometrics, SABR volatility model

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