Cheng Ouyang

Purdue University

Golomb Assistant Professor

150 N. University Street

Department of Mathematics

West Lafayette, IN 47907

United States

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Scholarly Papers (1)

Asymptotics of Implied Volatility in Local Volatility Models

Mathematical Finance, Forthcoming
Number of pages: 39 Posted: 27 Jan 2010 Last Revised: 30 Jul 2010
CUNY Baruch College, Northwestern University - Department of Mathmatics, University of Rome I - Department of Mathematics, Purdue University and Baruch College, CUNY
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Implied volatility, local volatility, asymptotic expansion, heat kernels

Asymptotics of Implied Volatility in Local Volatility Models

Mathematical Finance, Vol. 22, Issue 4, pp. 591-620, 2012
Number of pages: 30 Posted: 23 Aug 2012
CUNY Baruch College, Northwestern University - Department of Mathmatics, University of Rome I - Department of Mathematics, Purdue University and affiliation not provided to SSRN
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Abstract:

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implied volatility, local volatility, asymptotic expansion, heat kernels