General Asymptotics of Wiener Functionals and Application to Implied Volatilities (Q4560330): Difference between revisions

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Revision as of 22:37, 19 March 2024

scientific article; zbMATH DE number 6991886
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English
General Asymptotics of Wiener Functionals and Application to Implied Volatilities
scientific article; zbMATH DE number 6991886

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    General Asymptotics of Wiener Functionals and Application to Implied Volatilities (English)
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    11 December 2018
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    Wiener functional
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    stochastic volatility
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    Hamilton equation
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    Malliavin calculus
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    asymptotic approximation
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    SABR model
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