Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model

DOI10.1007/978-3-319-11605-1_7zbMath1418.91595OpenAlexW1012682884MaRDI QIDQ4560332

Peter Laurence, Christian Bayer

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-11605-1_7

zbMATH Keywords

asymptotic formulasheat kernel expansionimplied volatilitybasket optionsspread options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)

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