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~person:"Mazzoni, Thomas"
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Hermite-polynomials
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Kolmogorov-backward-equation
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asymptotic expansion
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implied volatility surface
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Mazzoni, Thomas
Härdle, Wolfgang
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International Journal of Financial Studies
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Asymptotic expansion of risk-neutral pricing density
Mazzoni, Thomas
- In:
International Journal of Financial Studies
6
(
2018
)
1
,
pp. 1-26
shown to generate very precise option prices and a more accurate implied
volatility
surface
than conventional methods. …
Persistent link: https://www.econbiz.de/10011996095
Saved in:
2
Asymptotic expansion of risk-neutral pricing density
Mazzoni, Thomas
- In:
International Journal of Financial Studies : open …
6
(
2018
)
1
,
pp. 1-26
shown to generate very precise option prices and a more accurate implied
volatility
surface
than conventional methods. …
Persistent link: https://www.econbiz.de/10011857274
Saved in:
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