Skip to Main content Skip to Navigation
Book sections

Implied volatility of basket options at extreme strikes

Document type :
Book sections
Complete list of metadatas

https://hal.archives-ouvertes.fr/hal-01262075
Contributor : Serena Benassù <>
Submitted on : Tuesday, January 26, 2016 - 11:14:03 AM
Last modification on : Friday, March 27, 2020 - 4:01:01 AM

Identifiers

  • HAL Id : hal-01262075, version 1

Citation

A. Gulisashvili, P. Tankov. Implied volatility of basket options at extreme strikes. P.K. Friz, J. Gatheral, A. Jacquier, J. Teichmann. Large deviations and asymptotic methods in finance, 110, Springer, pp.175-212, 2015, Springer Proceedings in Mathematics & Statistics. ⟨hal-01262075⟩

Share

Metrics

Record views

171