Asymptotics and calibration of local volatility models
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Publication:4646770
DOI10.1088/1469-7688/2/1/305zbMath1405.91586OpenAlexW2110018918MaRDI QIDQ4646770
Jérôme Busca, Igor Florent, Henri Berestycki
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/2/1/305
Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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