EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL (Q3580186): Difference between revisions
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Revision as of 11:54, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL |
scientific article |
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EXPANSION FORMULAS FOR EUROPEAN OPTIONS IN A LOCAL VOLATILITY MODEL (English)
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11 August 2010
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local volatility model
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European options
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asymptotic expansions
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small diffusion process
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CEV model
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Taylor expansion
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second and third order approximation
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Dupire model
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implied Black-Scholes volatility
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