Asymptotic and non asymptotic approximations for option valuation (Q2849673): Difference between revisions
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Revision as of 08:46, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic and non asymptotic approximations for option valuation |
scientific article |
Statements
Asymptotic and non asymptotic approximations for option valuation (English)
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24 September 2013
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call option
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local volatility model
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implied volatility
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asymptotic behavior
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extreme strike
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normal and log-normal proxy
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Malliavin calculus
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approximation methods
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option prices
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theoretical point of view
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numerical point of view
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approximations third order
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