ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
| Year of publication: |
2012
|
|---|---|
| Authors: | Gatheral, Jim ; Hsu, Elton P. ; Laurence, Peter ; Ouyang, Cheng ; 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 10731945. - Vol. 22.2012, 4, p. 591-621
|