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ASYMPTOTICS OF THE TIME-DISCRETIZED LOG-NORMAL SABR MODEL: THE IMPLIED VOLATILITY SURFACE
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 35 / Issue 4 / October 2021
- Published online by Cambridge University Press:
- 22 May 2020, pp. 942-974
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SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 33 / Issue 2 / April 2019
- Published online by Cambridge University Press:
- 05 June 2018, pp. 258-290
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Asymptotics for the discrete-time average of the geometric Brownian motion and Asian options
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- Journal:
- Advances in Applied Probability / Volume 49 / Issue 2 / June 2017
- Published online by Cambridge University Press:
- 26 June 2017, pp. 446-480
- Print publication:
- June 2017
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