Local volatility function models under a benchmark approach

Quantitative Finance

Volumn 6, Issue 3, 2006, Pages 197-206

  Heath, David ^a   Platen, Eckhard ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Benchmark approach; Dupire formula; Fair pricing; Growth optimal portfolio; Index derivatives; Local volatility function; Minimal market model; Modified CEV model

Indexed keywords

EID: 33744999175     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680600699787     Document Type: Review

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