Evgeny Ryskin

JP Morgan Chase

London

United Kingdom

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

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1.

Discrete Local Volatility for Large Time Steps (Extended Version)

Number of pages: 34 Posted: 13 Aug 2015 Last Revised: 18 May 2020
Hans Buehler and Evgeny Ryskin
JP Morgan and JP Morgan Chase
Downloads 672 (41,723)

Abstract:

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Implied Volatility, Arbitrage-Free Fitting, Expensive Martingales, Large Step Monte-Carlo, Discrete Pricing

2.

Discrete Local Volatility for Large Time Steps (Short Version)

Number of pages: 16 Posted: 25 May 2016 Last Revised: 19 Nov 2018
Hans Buehler and Evgeny Ryskin
JP Morgan and JP Morgan Chase
Downloads 301 (110,247)
Citation 2

Abstract:

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Discrete Local Volatility, Discrete Martingale, Markov Margingale, Implied Volatility, Arbitrage-Free