Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture (Q2892978)
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scientific article; zbMATH DE number 6049605
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture |
scientific article; zbMATH DE number 6049605 |
Statements
25 June 2012
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call and put pricing functions
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implied volatility
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sharp asymptotic formulas
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Lee's moment formulas
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Piterbarg's conjecture
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Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture (English)
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