Skip to Main content Skip to Navigation
Book sections

Implied volatility of basket options at extreme strikes

A. Gulisashvili P. Tankov 1
1 LPMA - Laboratoire de Probabilités et Modèles Aléatoires
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

Collections

CNRS | INSMI | UPMC | PMA | SORBONNE-UNIVERSITE | SU-SCIENCES | UNIV-PARIS7 | USPC

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⟩

Export

BibTeX TEI DC DCterms EndNote

Share

Metrics

Record views

171

Contact

Informations

CCSD