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Chapter title |
Second Order Expansion for Implied Volatility in Two Factor Local Stochastic Volatility Models and Applications to the Dynamic $$\lambda $$ -Sabr Model
|
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Chapter number | 4 |
Book title |
Large Deviations and Asymptotic Methods in Finance
|
Published by |
Springer, Cham, January 2015
|
DOI | 10.1007/978-3-319-11605-1_4 |
Book ISBNs |
978-3-31-911604-4, 978-3-31-911605-1
|
Authors |
Gérard Ben Arous, Peter Laurence |