ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (Q4919611): Difference between revisions

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Revision as of 21:04, 19 March 2024

scientific article; zbMATH DE number 6163068
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English
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
scientific article; zbMATH DE number 6163068

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    ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (English)
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    14 May 2013
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    implied volatility
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    local volatility
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    asymptotic expansion
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    heat kernels
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