The small and large time implied volatilities in the minimal market model
Zhi Jun Guo; Eckhard Platen
| Year of publication: |
2012
|
|---|---|
| Authors: | Guo, Zhi Jun ; Platen, Eckhard |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 8, p. 1-23
|
| Subject: | Small and large time implied volatilities | Benchmark approach | Square-root process | The minimal market model | Theorie | Theory | Volatilität | Volatility | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Messung | Measurement |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009707096