Model-free stochastic collocation for an arbitrage-free implied volatility, part I
Fabien Le Floc’h, Cornelis W. Oosterlee
| Year of publication: |
2019
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|---|---|
| Authors: | Le Floc'h, Fabien ; Oosterlee, Cornelis Willebrordus |
| Published in: |
Decisions in economics and finance : DEF ; a journal of applied mathematics. - Milano : Springer, ISSN 1593-8883, ZDB-ID 2040574-1. - Vol. 42.2019, 2, p. 679-714
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| Subject: | Stochastic collocation | Implied volatility | Quantitative finance | Arbitrage-free | Risk-neutral density | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Black-Scholes-Modell | Black-Scholes model | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10203-019-00238-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012127314