Testing the local volatility assumption: a statistical approach

Mark Podolskij () and Mathieu Rosenbaum ()

Annals of Finance, 2012, vol. 8, issue 1, 48 pages

Keywords: Local volatility models; Stochastic volatility models; Test statistics; Semi-martingales; Limit theorems; 60F05; 60G44; 60J60; 62M02; 62M07 (search for similar items in EconPapers)
Date: 2012
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Working Paper: Testing the local volatility assumption: a statistical approach (2011)
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DOI: 10.1007/s10436-011-0180-z

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