Option pricing in the moderate deviations regime
From MaRDI portal
Publication:4581294
DOI10.1111/mafi.12156zbMath1411.91554arXiv1604.01281WikidataQ55634326 ScholiaQ55634326MaRDI QIDQ4581294
Stefan Gerhold, Peter K. Friz, Arpad Pinter
Publication date: 16 August 2018
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1604.01281
62E20: Asymptotic distribution theory in statistics
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G20: Derivative securities (option pricing, hedging, etc.)
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