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Stochastic volatility, smile & asymptotics
K. Ronnie Sircar
, George C. Papanicolaou
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peer-review
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Keyphrases
Stochastic Volatility
100%
Volatility Process
100%
Volatility Smile
100%
Volatility
75%
Black-Scholes
50%
Smile Curve
50%
Explicit Formula
25%
PDE
25%
Asymptotic Approximation
25%
Random Process
25%
Stochastic Volatility Model
25%
Parametric Model
25%
Hedging
25%
Stock Prices
25%
Scale of Fluctuation
25%
Gaussian Random Variable
25%
Volatility Coefficient
25%
Pricing Problem
25%
Derivative Securities
25%
Market Value
25%
Price Ratio
25%
Hedging Problem
25%
Stock Market Volatility
25%
Curve Data
25%
Volatility Risk
25%
Hedging Costs
25%
Renault
25%
Smile Effect
25%
Hedge Ratio
25%
Stock Price Processes
25%
Need Estimation
25%
Price Curves
25%
Mathematics
Asymptotics
100%
Explicit Formula
100%
Partial Differential Equation
100%
Timescale
100%
Stochastic Volatility
100%
Stochastic Volatility Model
100%
Asymptotic Approximation
100%
Parametric Model
100%
Gaussian Random Variable
100%
Random Process
100%