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- W1578363489 abstract "Abstract This article presents the volatility of volatility series expansion, a powerful technique for deriving fast‐computing analytical formulae for European options. The main idea is to apply perturbation method to the volvol parameter, calculating the first and second order of the difference between a stochastic volatility model and a Black–Scholes model. In the general case, we can reduce the integration of the exact formula to some simpler integration. The method can be applied successfully to several stochastic volatility models including Heston model, GARCH model, SABR model, and so on, to enhance the calibration and pricing routines." @default.
- W1578363489 created "2016-06-24" @default.
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- W1578363489 date "2010-02-26" @default.
- W1578363489 modified "2023-10-11" @default.
- W1578363489 title "Implied Volatility: Volvol Expansion" @default.
- W1578363489 doi "https://doi.org/10.1002/9780470061602.eqf08010" @default.
- W1578363489 hasPublicationYear "2010" @default.
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