Displaced lognormal volatility skews: analysis and applications to stochastic volatility simulations

Roger Lee () and Dan Wang ()

Annals of Finance, 2012, vol. 8, issue 2, 159-181

Keywords: Displaced lognormal; Displaced diffusion; Implied volatility; Control variate; C6; G1 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s10436-009-0145-7

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