Extreme-strike asymptotics for general Gaussian stochastic volatility models
Archil Gulisashvili, Frederi Viens, Xin Zhang
| Year of publication: |
2019
|
|---|---|
| Authors: | Gulisashvili, Archil ; Viens, Frederi G. ; Zhang, Xin |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 15.2019, 1, p. 59-101
|
| Subject: | Chi-squared variates | Implied volatility | Karhunen-Loève expansion | Large strike | Stochastic volatility | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Arbeitskampf | Industrial action |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10436-018-0338-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012058191