Chen Xu Li

Princeton University - Bendheim Center for Finance

Princeton, NJ 08544

United States

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Implied Stochastic Volatility Models

Number of pages: 51 Posted: 01 Jun 2017 Last Revised: 21 Feb 2019
Yacine Ait-Sahalia, Chenxu Li and Chen Xu Li
Princeton University - Department of Economics, Peking University - Guanghua School of Management and Princeton University - Bendheim Center for Finance
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Abstract:

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implied volatility surface, stochastic volatility, option pricing, closed-form expansion