Stefan Gerhold

Vienna University of Technology

Karlsplatz 13

Vienna

Austria

SCHOLARLY PAPERS

4

DOWNLOADS

877

SSRN CITATIONS
Rank 39,947

SSRN RANKINGS

Top 39,947

in Total Papers Citations

11

CROSSREF CITATIONS

12

Scholarly Papers (4)

1.

Transaction Costs, Trading Volume, and the Liquidity Premium

Boston U. School of Management Research Paper No. 2011-16
Number of pages: 30 Posted: 04 Aug 2011 Last Revised: 05 Feb 2013
Vienna University of Technology, Boston University - Department of Mathematics and StatisticsDublin City University - School of Mathematical Sciences, Imperial College London - Department of Mathematics and Universität Wien, Fakultät für Mathematik
Downloads 472 (112,441)
Citation 8

Abstract:

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transaction costs, long-run, portfolio choice, liquidity premium, trading volume

2.

How to Make Dupire's Local Volatility Work with Jumps

Number of pages: 7 Posted: 28 Feb 2013
Peter Friz, Stefan Gerhold and Marc Yor
Technische Universität Berlin (TU Berlin), Vienna University of Technology and Universite Paris
Downloads 206 (269,741)
Citation 6

Abstract:

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Local volatility, Fokker-Planck equation, Levy processes

3.

Can There Be an Explicit Formula for Implied Volatility?

Number of pages: 6 Posted: 24 Nov 2012
Stefan Gerhold
Vienna University of Technology
Downloads 135 (386,772)
Citation 4

Abstract:

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Call option, Black-Scholes formula, implied volatility, D-finite function, asymptotics

4.

Option Pricing in the Moderate Deviations Regime

Number of pages: 20 Posted: 05 Apr 2016
Peter Friz, Stefan Gerhold and Arpad Pinter
Technische Universität Berlin (TU Berlin), Vienna University of Technology and Vienna University of Technology
Downloads 64 (627,771)
Citation 3

Abstract:

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density expansions in small time, option pricing in small time, moderate deviations