Asymptotics of implied volatility in local volatility models
Jim Gatheral; Elton P. Hsu; Peter Laurence; Cheng Ouyang; Tai-Ho Wang
| Year of publication: |
2012
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|---|---|
| Authors: | Gatheral, Jim ; Hsu, Elton P. ; Laurence, Peter ; Cheng Ouyang ; Wang, Tai-ho |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 22.2012, 4, p. 591-620
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| Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009614946