Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (Q4560332)
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scientific article; zbMATH DE number 6991888
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model |
scientific article; zbMATH DE number 6991888 |
Statements
Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (English)
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11 December 2018
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basket options
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spread options
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implied volatility
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asymptotic formulas
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heat kernel expansion
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