Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
Year of publication: |
2012
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Authors: | Gulisashvili, Archil |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 3, p. 1-34
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Subject: | Call and put pricing functions | implied volatility | sharp asymptotic formulas | Lee's moment formulas | Piterbarg's conjecture | CAPM | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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