Is the minimum value of an option on variance generated by local volatility? (Q2996523)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5882828
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Is the minimum value of an option on variance generated by local volatility? |
scientific article; zbMATH DE number 5882828 |
Statements
Is the Minimum Value of an Option on Variance Generated by Local Volatility? (English)
0 references
2 May 2011
0 references
local volatility
0 references
Dupire's formula
0 references
0.7643823623657227
0 references
0.7583709359169006
0 references
0.7541532516479492
0 references
0.7391372919082642
0 references
0.7359209060668945
0 references
