Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model

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Publication:4560332

DOI10.1007/978-3-319-11605-1_7zbMath1418.91595OpenAlexW1012682884MaRDI QIDQ4560332

Peter Laurence, Christian Bayer

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_7




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