Stefan Gerhold

Vienna University of Technology

Karlsplatz 13

Vienna

Austria

SCHOLARLY PAPERS

4

DOWNLOADS

568

CITATIONS

2

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 Statistics, Carnegie Mellon University - Department of Mathematical Sciences and Universität Wien, Fakultät für Mathematik
Downloads 341 (62,650)
Citation 2

Abstract:

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

2.

Can There Be an Explicit Formula for Implied Volatility?

Number of pages: 6 Posted: 24 Nov 2012
Stefan Gerhold
Vienna University of Technology
Downloads 69 (244,398)

Abstract:

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

3.

How to Make Dupire's Local Volatility Work with Jumps

Number of pages: 7 Posted: 28 Feb 2013
Peter K. Friz, Stefan Gerhold and Marc Yor
Technische Universität Berlin (TU Berlin), Vienna University of Technology and Universite Paris
Downloads 33 (330,636)

Abstract:

Local volatility, Fokker-Planck equation, Levy processes

4.

Option Pricing in the Moderate Deviations Regime

Number of pages: 20 Posted: 05 Apr 2016
Peter K. Friz, Stefan Gerhold and Arpad Pinter
Technische Universität Berlin (TU Berlin), Vienna University of Technology and Vienna University of Technology
Downloads 0 (368,824)

Abstract:

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