Brian Norsk Huge

Danske Bank

DK-1092 Copenhagen K

Denmark

SCHOLARLY PAPERS

4

DOWNLOADS
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7,458

CITATIONS
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Top 33,132

in Total Papers Citations

6

Scholarly Papers (4)

1.

Volatility Interpolation

Number of pages: 11 Posted: 21 Oct 2010 Last Revised: 30 Oct 2010
Jesper Andreasen and Brian Norsk Huge
Danske Bank - Danske Markets and Danske Bank
Downloads 2,790 (1,901)
Citation 5

Abstract:

Option pricing, implicit finite difference

2.

ZABR -- Expansions for the Masses

Number of pages: 16 Posted: 07 Jan 2012
Jesper Andreasen and Brian Norsk Huge
Danske Bank - Danske Markets and Danske Bank
Downloads 1,915 (3,737)
Citation 1

Abstract:

Option pricing, volatility smiles

3.

Finite Difference Based Calibration and Simulation

Number of pages: 14 Posted: 27 Oct 2010 Last Revised: 30 Oct 2010
Jesper Andreasen and Brian Norsk Huge
Danske Bank - Danske Markets and Danske Bank
Downloads 1,163 (10,480)

Abstract:

Stochastic local volatility, finite difference solution, calibration, simulation

4.

Bias Reduction in European Option Pricing

EFA 2004 Maastricht Meetings Paper No. 2862
Number of pages: 57 Posted: 11 Jun 2004 Last Revised: 17 Aug 2008
Brian Norsk Huge and Niels Rom
Danske Bank and Nordea Markets
Downloads 171 (131,856)

Abstract: