Implied Volatility from Local Volatility: A Path Integral Approach (Q4560334)
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scientific article; zbMATH DE number 6991890
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Implied Volatility from Local Volatility: A Path Integral Approach |
scientific article; zbMATH DE number 6991890 |
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Implied Volatility from Local Volatility: A Path Integral Approach (English)
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11 December 2018
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small time asymptotic expansion
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heat kernels expansion
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implied volatility
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local volatility model
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most likely path
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path integral
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