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VLADIMIR V. PITERBARG's Stochastic Volatility Model with Time-dependent skew (again)

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shamimafshani
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Joined: March 3rd, 2006, 7:19 am

VLADIMIR V. PITERBARG's Stochastic Volatility Model with Time-dependent skew (again)

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October 28th, 2007, 6:54 am

Regarding a numerical solution for the "effective volatility" parameter, in Remark 4.1 the author says that obtaining a solution is extremely fast. I'm wondering how fast is "extremely fast"?ThanksShamim
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