Small-time asymptotics for Gaussian self-similar stochastic volatility models (Q781554)
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scientific article; zbMATH DE number 7222163
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| English | Small-time asymptotics for Gaussian self-similar stochastic volatility models |
scientific article; zbMATH DE number 7222163 |
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Small-time asymptotics for Gaussian self-similar stochastic volatility models (English)
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17 July 2020
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stochastic volatility models
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Gaussian self-similar volatility
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implied volatility
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small-time asymptotics
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Karhunen-Loève expansions
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0.8170470595359802
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0.8128145337104797
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0.800747811794281
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0.7943257689476013
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0.7927565574645996
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