Local Volatility, Conditioned Diffusions, and Varadhan's Formula (Q4579844)
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scientific article; zbMATH DE number 6915879
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Local Volatility, Conditioned Diffusions, and Varadhan's Formula |
scientific article; zbMATH DE number 6915879 |
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Local Volatility, Conditioned Diffusions, and Varadhan's Formula (English)
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10 August 2018
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conditional density asymptotics
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local volatility
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stochastic volatility
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large deviations
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