Calibrating volatility surfaces via relative-entropy minimization
Year of publication: |
1997
|
---|---|
Other Persons: | Avellaneda, Marco (contributor) |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 4.1997, 1, p. 37-64
|
Subject: | Optionspreistheorie | Option pricing theory | Volatilität | Volatility | Theorie | Theory |
-
Jumps and stochastic volatility : exchange rate processes implicit in PHLX Deutschemark options
Bates, David S., (1993)
-
Die Bewertung von Zinsoptionen
Walter, Ulrich, (1996)
-
Post-'87 crash fears in S&P 500 futures options
Bates, David S., (1997)
- More ...
-
Pricing Parislan-style options with a lattice method
Avellaneda, Marco, (1999)
-
Avellaneda, Marco, (1996)
-
Avellaneda, Marco, (1999)
- More ...