A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility

DOI10.1007/978-3-319-11605-1_8zbMath1418.91520arXiv0911.0562MaRDI QIDQ4560333

Josef Teichmann, Martin Keller-Ressel

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0911.0562

zbMATH Keywords

implied volatility; local volatility; most-likely path

Mathematics Subject Classification ID

91G20: Derivative securities (option pricing, hedging, etc.)