A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
type: Item
instance of: scholarly article
title: A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
zbMATH Open document ID: 1418.91520
DOI: 10.1007/978-3-319-11605-1_8
author: Martin Keller-Ressel
author: Josef Teichmann
published in: Springer Proceedings in Mathematics & Statistics
publication date: 2018-12-11T00:00:00Z
full work available at URL: https://arxiv.org/abs/0911.0562
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6991889
zbMATH Keywords: implied volatility
zbMATH Keywords: local volatility
zbMATH Keywords: most-likely path
MaRDI profile type: Publication
OpenAlex ID: W2150286176
arXiv ID: 0911.0562
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description: scientific article; zbMATH DE number 6991889