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
From MaRDI portal
Set profile property. |
Created claim: Wikidata QID (P12): Q123025353, #quickstatements; #temporary_batch_1712201099914 |
||
Property / Wikidata QID | |||
Property / Wikidata QID: Q123025353 / rank | |||
Normal rank |
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)
0 references
25 June 2012
0 references
call and put pricing functions
0 references
implied volatility
0 references
sharp asymptotic formulas
0 references
Lee's moment formulas
0 references
Piterbarg's conjecture
0 references