Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model (Q4560332)
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scientific article; zbMATH DE number 6991888
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| English | Small-time asymptotics for the at-the-money implied volatility in a multi-dimensional local volatility model |
scientific article; zbMATH DE number 6991888 |
Statements
Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model (English)
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11 December 2018
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basket options
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spread options
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implied volatility
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asymptotic formulas
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heat kernel expansion
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0.8098616003990173
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0.8042333722114563
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0.7932054996490479
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0.7870158553123474
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