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Testing the local volatility assumption: A statistical approach

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  • Mark Podolskij
  • Mathieu Rosenbaum, Centre de Mathématiques Appliquées, Denmark
Original languageEnglish
JournalAnnals of Finance
Volume8
Issue1
Pages (from-to)31-48
Number of pages18
ISSN1614-2446
DOIs
Publication statusPublished - 1 Feb 2012
Externally publishedYes

    Research areas

  • Limit theorems, Local volatility models, Semi-martingales, Stochastic volatility models, Test statistics

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