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Total positivity and relative convexity of option prices - MaRDI portal

Total positivity and relative convexity of option prices (Q6105375)

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scientific article; zbMATH DE number 7702086
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English
Total positivity and relative convexity of option prices
scientific article; zbMATH DE number 7702086

    Statements

    title
    Total positivity and relative convexity of option prices (English)
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    author
    Paul Glasserman
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    Dan Pirjol
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    publication date
    26 June 2023
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    zbMATH Keywords
    total positivity
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    relative convexity
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    option prices
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    Lévy processes
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    implied volatility skew
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    cites work
    Q4226822
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    Q5812325
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    Q5624248
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    Q5534404
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    Stochastic orders
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    Identifiers

    DOI
    10.3934/fmf.2023001
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    zbMATH DE Number
    7702086
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    OpenAlex ID
    W4320918269
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