Pathwise moderate deviations for option pricing
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Publication:5109973
DOI10.1111/mafi.12228MaRDI QIDQ5109973
Antoine Jacquier, Konstantinos V. Spiliopoulos
Publication date: 14 May 2020
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.04483
91G20: Derivative securities (option pricing, hedging, etc.)