Showing 1 - 10 of 92,386
Persistent link: https://www.econbiz.de/10013465807
general local-stochastic volatility model with zero correlation. We do this using the Freidlin-Wentzell theory of large …-time asymptotic behaviour for call options using Holder's inequality, and the implied volatility. This avoids the use of possibly non …, which is analysed at length in Busca et al. We also derive a series expansion for the implied volatility in the small …
Persistent link: https://www.econbiz.de/10013116586
Persistent link: https://www.econbiz.de/10009492526
Persistent link: https://www.econbiz.de/10009614946
Persistent link: https://www.econbiz.de/10010375952
Persistent link: https://www.econbiz.de/10010442725
Persistent link: https://www.econbiz.de/10011285427
Persistent link: https://www.econbiz.de/10011434223
Persistent link: https://www.econbiz.de/10011583594
Persistent link: https://www.econbiz.de/10010391631