Implied Volatility of Basket Options at Extreme Strikes
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Publication:4560331
DOI10.1007/978-3-319-11605-1_6zbMath1418.91516arXiv1406.0394OpenAlexW3125479236MaRDI QIDQ4560331
Archil Gulisashvili, Peter Tankov
Publication date: 11 December 2018
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1406.0394
Applications of statistics to actuarial sciences and financial mathematics (62P05) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Small-Time Asymptotics for Basket Options---the Bivariate SABR Model and the Hyperbolic Heat Kernel on $\mathbb{H}^3$ ⋮ The deep parametric PDE method and applications to option pricing ⋮ Tails of weakly dependent random vectors
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