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- W2898051000 abstract "We approximate normal implied volatilities by means of an asymptotic expansion method. The contribution of this paper is twofold: to our knowledge, this paper is the first to provide a unified approximation method for the normal implied volatility under general local stochastic volatility models. Second, we compared our method with the Monte-Carlo simulations by using the parameters calibrated to the actual market data and confirmed the accuracy." @default.
- W2898051000 created "2018-10-26" @default.
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- W2898051000 date "2018-01-01" @default.
- W2898051000 modified "2023-10-02" @default.
- W2898051000 title "An approximation formula for normal implied volatility under general local stochastic volatility models" @default.
- W2898051000 hasPublicationYear "2018" @default.
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