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INDIFFERENCE PRICES AND IMPLIED VOLATILITIES - MaRDI portal

INDIFFERENCE PRICES AND IMPLIED VOLATILITIES (Q4635045)

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scientific article; zbMATH DE number 6859728
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INDIFFERENCE PRICES AND IMPLIED VOLATILITIES
scientific article; zbMATH DE number 6859728

    Statements

    title
    INDIFFERENCE PRICES AND IMPLIED VOLATILITIES (English)
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    author
    Matthew Lorig
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    publication date
    13 April 2018
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    zbMATH Keywords
    indifference pricing
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    implied volatility
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    PDE asymptotics
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    local-stochastic volatility
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    Heston
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    cites work
    Q3974816
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    Identifiers

    DOI
    10.1111/mafi.12129
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    zbMATH DE Number
    6859728
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    OpenAlex ID
    W1420861287
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    arXiv ID
    1412.5520
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