General Asymptotics of Wiener Functionals and Application to Implied Volatilities (Q4560330)
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scientific article; zbMATH DE number 6991886
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | General Asymptotics of Wiener Functionals and Application to Implied Volatilities |
scientific article; zbMATH DE number 6991886 |
Statements
General Asymptotics of Wiener Functionals and Application to Implied Volatilities (English)
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11 December 2018
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Wiener functional
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stochastic volatility
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Hamilton equation
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Malliavin calculus
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asymptotic approximation
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SABR model
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