Application of large deviation methods to the pricing of index options in finance. (Q1871480): Difference between revisions

@@ Property / author @@
-Peter K. Friz
@@ Property / author: Peter K. Friz / rank @@
-Normal rank
@@ Property / author @@
+Peter K. Friz
@@ Property / author: Peter K. Friz / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+An inverse parabolic problem arising in finance
@@ Property / cites work: An inverse parabolic problem arising in finance / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotics and calibration of local volatility models
+Normal rank
@@ Property / cites work @@
+Diffusion processes in a small time interval
@@ Property / cites work: Diffusion processes in a small time interval / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1871480