SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS

DOI10.1142/s0219024923500231OpenAlexW4389205804MaRDI QIDQ6119776

Lingjiong Zhu, Dan Pirjol

Publication date: 20 February 2024

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024923500231

zbMATH Keywords

large deviationslocal volatility modelsoption asymptotics

Mathematics Subject Classification ID

Large deviations (60F10) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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