An improved asymptotics of implied volatility in the gatheral model (Q6153199)
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scientific article; zbMATH DE number 7819606
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An improved asymptotics of implied volatility in the gatheral model |
scientific article; zbMATH DE number 7819606 |
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An improved asymptotics of implied volatility in the gatheral model (English)
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16 March 2024
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double-mean-reverting model
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implied volatility
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