Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332): Difference between revisions

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Latest revision as of 15:06, 17 July 2024

scientific article; zbMATH DE number 6991888
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English
Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model
scientific article; zbMATH DE number 6991888

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    Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (English)
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    11 December 2018
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    basket options
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    spread options
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    implied volatility
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    asymptotic formulas
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    heat kernel expansion
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    Identifiers

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