Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model
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Publication:4560332
DOI10.1007/978-3-319-11605-1_7zbMath1418.91595OpenAlexW1012682884MaRDI QIDQ4560332
Peter Laurence, Christian Bayer
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_7
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)
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