scientific article
From MaRDI portal
Publication:3188227
zbMath1391.91001MaRDI QIDQ3188227
Publication date: 17 August 2016
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (8)
Proof of non-convergence of the short-maturity expansion for the SABR model ⋮ ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE ⋮ Sticky reflecting Ornstein-Uhlenbeck diffusions and the Vasicek interest rate model with the sticky zero lower bound ⋮ Sticky Feller diffusions ⋮ FX options pricing in logarithmic mean-reversion jump-diffusion model with stochastic volatility ⋮ Solution of option pricing equations using orthogonal polynomial expansion. ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models ⋮ Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models
Uses Software
This page was built for publication: