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Deterministic implied volatility models - MaRDI portal

Deterministic implied volatility models (Q4646768)

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scientific article; zbMATH DE number 7001501
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English
Deterministic implied volatility models
scientific article; zbMATH DE number 7001501

    Statements

    title
    Deterministic implied volatility models (English)
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    author
    Philippe Balland
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    publication date
    14 January 2019
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    zbMATH Keywords
    deterministic volatility models
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    portfolios of vanilla options
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    interest rate
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    Black-Scholes model
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    Levy processes
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G10
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    60G51
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    zbMATH DE Number
    7001501
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    OpenAlex ID
    W2127608836
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