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- W87376749 abstract "We propose a class of equity models whose volatility, L'evy measure, and killing rate all have local stochastic state-dependence. In this framework we find a closed form solution for the price of any European-style option. Additionally, for a certain sub-class of models, we find an exact expression for the induced implied volatility smile. To illustrate our framework, we perform specific computations for hybrid CEV/L'evy model (which we christen as the C'EV model)." @default.
- W87376749 created "2016-06-24" @default.
- W87376749 creator A5029466911 @default.
- W87376749 date "2012-07-06" @default.
- W87376749 modified "2023-09-27" @default.
- W87376749 title "Local L'evy Models and their Volatility Smile" @default.
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