ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
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Publication:4919611
DOI10.1111/j.1467-9965.2010.00472.xzbMath1270.91093MaRDI QIDQ4919611
Jim Gatheral, Elton P. Hsu, Cheng Ouyang, Peter Laurence, Tai-Ho Wang
Publication date: 14 May 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00472.x
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G20: Derivative securities (option pricing, hedging, etc.)
65C30: Numerical solutions to stochastic differential and integral equations
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