ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (Q4919611): Difference between revisions
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| Property / cites work: Option pricing with quadratic volatility: a revisit / rank | |||
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| Property / cites work: Computing the implied volatility in stochastic volatility models / rank | |||
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| Property / cites work: Q5816908 / rank | |||
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| Property / cites work: Analysis, Geometry, and Modeling in Finance / rank | |||
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| Property / cites work: Some Properties of the Eigenfunctions of The Laplace-Operator on Riemannian Manifolds / rank | |||
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| Property / cites work: A GENERAL COMPUTATION SCHEME FOR A HIGH-ORDER ASYMPTOTIC EXPANSION METHOD / rank | |||
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Latest revision as of 10:15, 6 July 2024
scientific article; zbMATH DE number 6163068
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS |
scientific article; zbMATH DE number 6163068 |
Statements
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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