ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY...

Mathematical Finance 2012 Vol. 22; Iss. 4

ASYMPTOTICS OF IMPLIED VOLATILITY IN LOCAL VOLATILITY MODELS

Jim Gatheral, Elton P. Hsu, Peter Laurence, Cheng Ouyang, Tai-Ho Wang
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Volume:
22
Year:
2012
Language:
english
Pages:
1
DOI:
10.1111/j.1467-9965.2010.00472.x
File:
PDF, 324 KB
english, 2012
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