A remark on Gatheral's 'most-likely path approximation' of implied volatility

Research output: Contribution to book/conference proceedings/anthology/report › Conference contribution › Contributed › peer-review

Contributors

  • Martin Keller-Ressel - (Author)
  • Josef Teichmann - (Author)

Details

Original languageEnglish
Title of host publicationLarge Deviations and Asymptotic Methods in Finance
EditorsPeter K. Friz, Jim Gatheral, Archil Gulisashvili, Antoine Jacquier, Josef Teichmann
PublisherSpringer, Cham
Volume110
ISBN (electronic)978-3-319-11605-1
ISBN (print)978-3-319-38512-9, 978-3-319-11604-4
Publication statusPublished - 2015
Peer-reviewedYes

Publication series

SeriesSpringer proceedings in mathematics and statistics (Band 110)
ISSN2194-1009

Keywords

Keywords

  • implied volatility, mathematical finance