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Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Va...
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual... -
Determining the implied volatility in the Dupire equation for vanilla Europea...
The Black-Scholes model gives vanilla Europen call option prices as a function of the volatility. We prove Lipschitz stability in the inverse problem of determining... -
Option pricing for stochastic volatility models : Vol-of-Vol expansion
In this article, we propose an analytical approximation for the pricing of European op- tions for some lognormal stochastic volatility models. This approximation is a...
