Small-maturity asymptotics for the at-the-money implied volatility Slope in Lévy Models
Stefan Gerhold, I. Cetin Gülüm and Arpad Pinter (Institute of Statistics and Mathematical Methods in Economics, TU Wien, Vienna, Austria)
| Year of publication: |
May 2016
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|---|---|
| Authors: | Gerhold, Stefan ; Gülüm, I. Cetin ; Pinter, Arpad |
| Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 23.2016, 1/2, p. 135-157
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| Subject: | Implied volatility | Lévy process | digital option | asymptotics | Mellin transform | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1350486X.2016.1197041 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011547000