PRICING WITH A DIFFERENCE - How to calculate a local volatility surface from a set of input options and a finite difference grid
Year of publication: |
1998
|
---|---|
Authors: | Tsiveriotis, Kostas ; Chriss, Neil |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 11.1998, 2, p. 80-83
|
Saved in:
Saved in favorites
Similar items by person
-
Black-scholes and beyond : option pricing models
Chriss, Neil, (1997)
-
Valuing convertible bonds with credit risk
Tsiveriotis, Kostas, (1998)
-
VALUING CONVERTIBLE BONDS WITH CREDIT RISK
Tsiveriotis, Kostas, (1998)
- More ...