ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE (Q2892978): Difference between revisions
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Revision as of 20:30, 4 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE |
scientific article |
Statements
ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE (English)
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25 June 2012
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call and put pricing functions
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implied volatility
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sharp asymptotic formulas
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Lee's moment formulas
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Piterbarg's conjecture
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