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Quantitative Finance Volume 4, 2004 - Issue 5: Special Issue Title: New Directions in Option Pricing
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Original Articles

From local volatility to local Lévy models

Peter Carr Courant Institute, New York University, USA
,
Hélyette Geman Université Paris-Dauphine and ESSEC, France
,
Dilip B Madan 5 Robert H Smith School of Business, University of Maryland, USA E-mail: [email protected]
&
Marc Yor Laboratoire de Probabilités et Modèles aléatoires Université Paris VI and Université Paris VII, France
Pages 581-588 | Received 15 Mar 2004, Accepted 19 Nov 2004, Published online: 19 Jun 2011

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Read on this site (7)

Peter K. Friz, Stefan Gerhold & Marc Yor. (2014) How to make Dupire’s local volatility work with jumps. Quantitative Finance 14:8, pages 1327-1331.
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Nairn McWilliams & Sotirios Sabanis. (2011) Arithmetic Asian Options under Stochastic Delay Models. Applied Mathematical Finance 18:5, pages 423-446.
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Peter Carr & Laurent Cousot. (2011) A PDE approach to jump-diffusions. Quantitative Finance 11:1, pages 33-52.
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Dilip B. Madan & Yue Xiao. (2010) Leveraged Lévy processes as models for stock prices. Quantitative Finance 10:7, pages 735-748.
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Tai-Ho Wang, Peter Laurence & Sheng-Li Wang. (2010) Generalized uncorrelated SABR models with a high degree of symmetry. Quantitative Finance 10:6, pages 663-679.
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Carol Alexander & Leonardo M. Nogueira . (2007) Model-free price hedge ratios for homogeneous claims on tradable assets. Quantitative Finance 7:5, pages 473-479.
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David Heath & Eckhard Platen. (2006) Local volatility function models under a benchmark approach. Quantitative Finance 6:3, pages 197-206.
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Articles from other publishers (1)

Yuzi Jin, Jian Wang, Sangkwon Kim, Youngjin Heo, Changwoo Yoo, Youngrock Kim, Junseok Kim & Darae Jeong. (2018) Reconstruction of the Time-Dependent Volatility Function Using the Black–Scholes Model. Discrete Dynamics in Nature and Society 2018, pages 1-9.
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