Building Arbitrage-Free Implied Volatility : Sinkhorn's Algorithm and Variants
Year of publication: |
2019
|
---|---|
Authors: | De March, Hadrien |
Other Persons: | Henry-Labordere, Pierre (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Algorithmus | Algorithm |
Extent: | 1 Online-Ressource (19 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 31, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.3326486 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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