Implied volatility of basket options at extreme strikes (Q4560331)
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scientific article; zbMATH DE number 6991887
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Implied volatility of basket options at extreme strikes |
scientific article; zbMATH DE number 6991887 |
Statements
Implied Volatility of Basket Options at Extreme Strikes (English)
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11 December 2018
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implied volatility asymptotics
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basket options
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index options
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large/small strikes
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time change
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copula
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0.8098616003990173
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0.8065411448478699
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0.7957907915115356
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0.7928017377853394
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0.7891443967819214
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