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Asymptotic Expansion of Risk-Neutral Pricing Density
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| Author: | Thomas Mazzoni |
|---|---|
| URN: | urn:nbn:de:gbv:9-opus-28231 |
| DOI: | https://doi.org/10.3390/ijfs6010030 |
| ISSN: | 2227-7072 (eISSN) |
| Parent Title (English): | International Journal of Financial Studies |
| Publisher: | MDPI |
| Document Type: | Article |
| Language: | English |
| Date of first Publication: | 2018/03/12 |
| Release Date: | 2020/03/10 |
| Tag: | <i>Hermite</i>-polynomials; <i>Kolmogorov</i>-backward-equation; asymptotic expansion; implied volatility surface |
| GND Keyword: | - |
| Volume: | 6 |
| Issue: | 1 |
| Faculties: | Rechts- und Staatswissenschaftliche Fakultät / Wirtschaftswissenschaften |
| Licence (German): |  Creative Commons - Namensnennung |