Option pricing in the moderate deviations regime (Q4581294)

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scientific article; zbMATH DE number 6919654
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Option pricing in the moderate deviations regime
scientific article; zbMATH DE number 6919654

    Statements

    title
    Option pricing in the moderate deviations regime (English)
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    author
    Peter K. Friz
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    Stefan Gerhold
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    Arpad Pinter
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    publication date
    16 August 2018
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    zbMATH Keywords
    asymptotics
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    implied volatility
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    moderate deviations
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    option pricing
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    Identifiers

    DOI
    10.1111/mafi.12156
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    Mathematics Subject Classification ID
    91G20
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    62E20
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    62P05
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    zbMATH DE Number
    6919654
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    Wikidata QID
    Q55634326
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