Asymptotic and non asymptotic approximations for option valuation (Q2849673): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 19:22, 3 February 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)
0 references
24 September 2013
0 references
call option
0 references
local volatility model
0 references
implied volatility
0 references
asymptotic behavior
0 references
extreme strike
0 references
normal and log-normal proxy
0 references
Malliavin calculus
0 references
approximation methods
0 references
option prices
0 references
theoretical point of view
0 references
numerical point of view
0 references
approximations third order
0 references
