Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (Q4635252): Difference between revisions
From MaRDI portal
Revision as of 12:24, 15 July 2024
scientific article; zbMATH DE number 6860077
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility |
scientific article; zbMATH DE number 6860077 |
Statements
Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility (English)
0 references
16 April 2018
0 references
leverage
0 references
ETF
0 references
implied volatility
0 references
Lévy models
0 references
local volatility
0 references
small-time asymptotics
0 references
0 references
