A market model for stochastic implied volatility

Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences

Volumn 357, Issue 1758, 1999, Pages 2071-2092

  Schönbucher, Philipp J ^a  

^a UNIVERSITY OF BONN   (Germany)

Author keywords

Option pricing; Smile effect; Stochastic volatility; Strike structure of volatility; Term structure of volatility

Indexed keywords

EID: 0347599291     PISSN: 1364503X     EISSN: None     Source Type: Journal    
DOI: 10.1098/rsta.1999.0418     Document Type: Article

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