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Equity derivatives: Reconstructing volatility
Avellaneda, Marco; Boyer-Olson, Dash; Busca, Jérôme; … - In: Risk : managing risk in the world's financial markets 15 (2002) 10, pp. 87-92
Persistent link: https://www.econbiz.de/10007035136
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Derivatives pricing - Rational shapes of local volatility
De Marco, Stefano; Friz, Peter; Gerhold, Stefan - In: Risk : managing risk in the world's financial markets 26 (2013) 2, pp. 74-79
Persistent link: https://www.econbiz.de/10010084689
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TRANSIENT LINEAR PRICE IMPACT AND FREDHOLM INTEGRAL EQUATIONS
Gatheral, Jim; Schied, Alexander; Slynko, Alla - In: Mathematical finance : an international journal of … 22 (2012) 3, pp. 445-475
Persistent link: https://www.econbiz.de/10009980088
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ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS
Gatheral, Jim; Hsu, Elton P.; Laurence, Peter; Ouyang, Cheng - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 591-621
Persistent link: https://www.econbiz.de/10010012280