Volatility time and properties of option prices (Q1425480)

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Volatility time and properties of option prices
scientific article

    Statements

    title
    Volatility time and properties of option prices (English)
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    author
    Svante Janson
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    Johan Tysk
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    publication date
    21 March 2004
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    zbMATH Keywords
    convexity
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    Brownian motions
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    stochastic differential equations
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60H30
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    35K15
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    zbMATH DE Number
    2061205
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    OpenAlex ID
    W1977262664
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