Asymptotics of implied volatility in local volatility models (Q4919611)
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scientific article; zbMATH DE number 6163068
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| English | Asymptotics of implied volatility in local volatility models |
scientific article; zbMATH DE number 6163068 |
Statements
ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS (English)
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14 May 2013
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implied volatility
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local volatility
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asymptotic expansion
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heat kernels
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0.8657383918762207
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0.8568137884140015
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0.8489654064178467
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0.8450391292572021
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0.8406688570976257
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