Application of large deviation methods to the pricing of index options in finance.
type: Item
instance of: scholarly article
title: Application of large deviation methods to the pricing of index options in finance.
zbMATH Open document ID: 1053.91057
DOI: 10.1016/S1631-073X(03)00032-3
author: Marco Avellaneda
author: Dash Boyer-Olson
author: Jérôme Busca
author: Peter Friz
published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris
publication date: 2003-09-23T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 60F10
zbMATH DE Number: 1907772
zbMATH Keywords: correlation matrix
zbMATH Keywords: stock prices
zbMATH Keywords: European index options
MaRDI profile type: Publication
cites work: An inverse parabolic problem arising in finance
cites work: Asymptotics and calibration of local volatility models
cites work: Diffusion processes in a small time interval
description: scientific article; zbMATH DE number 1907772