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
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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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