From characteristic functions to implied volatility expansions (Q3450511): Difference between revisions
From MaRDI portal
Set profile property. |
Changed an Item |
||
| (One intermediate revision by one other user not shown) | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W3125867245 / rank | |||
Normal rank | |||
| Property / arXiv ID | |||
| Property / arXiv ID: 1207.0233 / rank | |||
Normal rank | |||
Revision as of 15:51, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | From characteristic functions to implied volatility expansions |
scientific article |
Statements
From characteristic functions to implied volatility expansions (English)
0 references
6 November 2015
0 references
characteristic function
0 references
exponential martingale
0 references
implied volatility expansion
0 references
finite and infinite activity exponential Lévy models
0 references
Heston model
0 references
