gatheral.hsu.ea:12:asymptotics¶
BibTeX Entry:
@article{gatheral.hsu.ea:12:asymptotics,
author = {Gatheral, Jim and Hsu, Elton P. and Laurence, Peter and Ouyang, Cheng and Wang, Tai-Ho},
doi = {10.1111/j.1467-9965.2010.00472.x},
fjournal = {Mathematical Finance. An International Journal of Mathematics, Statistics and Financial Economics},
issn = {0960-1627},
journal = {Math. Finance},
mrclass = {91B70 (60J70 91G20)},
mrnumber = {2968277},
mrreviewer = {Antoine Jacquier},
number = {4},
pages = {591--620},
title = {Asymptotics of implied volatility in local volatility models},
url = {https://doi.org/10.1111/j.1467-9965.2010.00472.x},
volume = {22},
year = {2012}
}