Option pricing in the moderate deviations regime

DOI10.1111/mafi.12156zbMath1411.91554arXiv1604.01281OpenAlexW3124836978WikidataQ55634326 ScholiaQ55634326MaRDI QIDQ4581294

Stefan Gerhold, Peter K. Friz, Arpad Pinter

Publication date: 16 August 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1604.01281

zbMATH Keywords

asymptoticsoption pricingmoderate deviationsimplied volatility

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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