Asymptotic Implied Volatility at the Second Order with Application to the SABR Model (Q4560327): Difference between revisions
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Revision as of 14:30, 19 March 2024
scientific article; zbMATH DE number 6991883
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic Implied Volatility at the Second Order with Application to the SABR Model |
scientific article; zbMATH DE number 6991883 |
Statements
Asymptotic Implied Volatility at the Second Order with Application to the SABR Model (English)
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11 December 2018
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stochastic volatility
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asymptotic expansion
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implied volatility
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heat kernel
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SABR
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