Karlsplatz 13
Vienna
Austria
Vienna University of Technology
SSRN RANKINGS
in Total Papers Citations
transaction costs, long-run, portfolio choice, liquidity premium, trading volume
Local volatility, Fokker-Planck equation, Levy processes
Call option, Black-Scholes formula, implied volatility, D-finite function, asymptotics
density expansions in small time, option pricing in small time, moderate deviations