On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation (Q5001108)
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scientific article; zbMATH DE number 7372383
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation |
scientific article; zbMATH DE number 7372383 |
Statements
On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation (English)
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16 July 2021
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spread options
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Girsanov's theorem
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Kirk's formula
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Malliavin calculus
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derivative operator in Malliavin calculus sense
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Skorohod integral
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