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5 - Implied Volatility Formulas and Calibration

Published online by Cambridge University Press:  07 October 2011

Jean-Pierre Fouque ,
George Papanicolaou ,
Ronnie Sircar  and
Knut Sølna
Jean-Pierre Fouque
Affiliation:
University of California, Santa Barbara
George Papanicolaou
Affiliation:
Stanford University, California
Ronnie Sircar
Affiliation:
Princeton University, New Jersey
Knut Sølna
Affiliation:
University of California, Irvine
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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives , pp. 148 - 178
Publisher: Cambridge University Press
Print publication year: 2011

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