Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications. Peter J¨ackel∗ Riccardo Rebonato† - Local volatility - Document - PDFSEARCH.IO

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	Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications. Peter J¨ackel∗ Riccardo Rebonato† Add to Reading List Document Date: 2001-11-15 18:55:32 Open Document File Size: 288,79 KB Share Result on Facebook Company Commerzbank Securities / The Royal Bank of Scotland / Gracechurch Street / / IndustryTerm lower-bound pricing applications / non-trivial applications / local-volatility solution / risk management / unknown solution / numerical solutions / / Organization US Federal Reserve / / Position trader / risk manager / Major / risk-averse trader / forward / / Technology market-agreed algorithm / / SocialTag Finance Investment Volatility smile Volatility Implied volatility Local volatility Stochastic volatility Black–Scholes Moneyness Financial economics

Valuing American options in the presence of user-defined smiles and time-dependent volatility: scenario analysis, model stress and lower-bound pricing applications. Peter J¨ackel∗ Riccardo Rebonato†Add to Reading List