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- W4299371519 abstract "Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations require only a normal CDF and our implied volatility approximations are fully explicit (ie, they require no special functions, no infinite series and no numerical integration). As such, approximate prices can be computed as efficiently as Black-Scholes prices, and approximate implied volatilities can be computed nearly instantaneously." @default.
- W4299371519 created "2022-10-02" @default.
- W4299371519 creator A5001028268 @default.
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- W4299371519 date "2013-08-22" @default.
- W4299371519 modified "2023-09-23" @default.
- W4299371519 title "A Taylor series approach to pricing and implied vol for LSV models" @default.
- W4299371519 doi "https://doi.org/10.48550/arxiv.1308.5019" @default.
- W4299371519 hasPublicationYear "2013" @default.
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