Anna L. Mazzucato

Pennsylvania State University

University Park

State College, PA 16802

United States

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Scholarly Papers (1)

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Closed-Form Asymptotics for Local Volatility Models

Number of pages: 30 Posted: 12 Oct 2009 Last Revised: 23 Apr 2010
Pennsylvania State University - Department of Mathematics, Barclays Capital, Pennsylvania State University, Pennsylvania State University, University Park and Department of Mathematics
Downloads 315 (120,624)

Abstract:

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derivative pricing, local volatility models, closed form solutions, asymptotics