The exact Taylor formula of the implied volatility
Stefano Pagliarani, Andrea Pascucci
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Pagliarani, Stefano ; Pascucci, Andrea |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 21.2017, 3, p. 661-718
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| Subject: | Implied volatility | Local-stochastic volatility | Local diffusions | Feller process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-017-0330-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944416