Challenges in approximating the Black and Scholes call formula with hyperbolic tangents
Michele Mininni, Giuseppe Orlando, Giovanni Taglialatela
| Year of publication: |
2021
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|---|---|
| Authors: | Mininni, Michele ; Orlando, Giuseppe ; Taglialatela, Giovanni |
| Published in: |
Decisions in economics and finance : a journal of applied mathematics. - Milano : Springer Italia, ISSN 1129-6569, ZDB-ID 2023516-1. - Vol. 44.2021, 1, p. 73-100
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| Subject: | Black and Scholes model | Hyperbolic tangent | Implied volatility | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-020-00305-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012587816