Finite arbitrage times and the volatility smile?
From MaRDI portal
Publication:5947893
DOI10.1016/S0378-4371(01)00309-0zbMath0997.91029MaRDI QIDQ5947893
Publication date: 23 October 2001
Published in: Physica A (Search for Journal in Brave)
stochastic processes; finite average; mean field approach; nonequilibrium option pricing theory; volatility surfaces
60G50: Sums of independent random variables; random walks
Cites Work
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