Alternative asset-price dynamics and volatility smile

DOI10.1088/1469-7688/3/3/303zbMath1405.91593OpenAlexW2001153827WikidataQ56144230 ScholiaQ56144230MaRDI QIDQ4647257

Giulio Sartorelli, Fabio Mercurio, Damiano Brigo

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/3/303

zbMATH Keywords

European optionsasset-price dynamicshyperbolic-sine densitieslog-normal densities

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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