General Asymptotics of Wiener Functionals and Application to Implied Volatilities (Q4560330): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_5 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W864294275 / rank | |||
Normal rank | |||
Revision as of 22:37, 19 March 2024
scientific article; zbMATH DE number 6991886
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | General Asymptotics of Wiener Functionals and Application to Implied Volatilities |
scientific article; zbMATH DE number 6991886 |
Statements
General Asymptotics of Wiener Functionals and Application to Implied Volatilities (English)
0 references
11 December 2018
0 references
Wiener functional
0 references
stochastic volatility
0 references
Hamilton equation
0 references
Malliavin calculus
0 references
asymptotic approximation
0 references
SABR model
0 references
