The asymptotic smile of a multiscaling stochastic volatility model (Q681999)
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scientific article; zbMATH DE number 6837782
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | The asymptotic smile of a multiscaling stochastic volatility model |
scientific article; zbMATH DE number 6837782 |
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The asymptotic smile of a multiscaling stochastic volatility model (English)
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13 February 2018
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implied volatility
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option price
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tail probability
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stochastic volatility model
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large deviations
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multiscaling of moments
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0.8383671045303345
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0.8355896472930908
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0.8265752792358398
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0.8249083161354065
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0.8158024549484253
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