Moment generating functions and normalized implied volatilities : unification and extension via Fukasawa's pricing formula
Stefano De Marco and Claude Martini
| Year of publication: |
April 2018
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|---|---|
| Authors: | De Marco, Stefano ; Martini, Claude |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 4, p. 609-622
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| Subject: | Implied volatility | Model-free pricing formulas | Moment generating functions | Power payoffs | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1348619 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011906443