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Skew this: taking the computational burden off basket options
Dan Pirjol presents a snap formula for estimating implied volatility skew in an instant
Julius baer
Monte carlo
Valer zetocha
Dan pirjol
Marco avellaneda
Stevens institute of technology
Stevens institute
Basket options
Orst of baskets
Volatility skew
Option pricing
Implied volatility
Volatility smile
Volatility surface
Local volatility models
Smile-consistent basket skew
An analytic approximation for the implied volatility surface of basket options is introduced
Monte carlo
Marco avellaneda
Laurence wang
Dan pirjol
Bayer laurence
Stevens institute of technology
Communications in pure
Communications on pure
Stevens institute
Applied mathematics
Statistical computing
Advanced methods
Option pricing
Financial mathematics series
Basket options
Local volatility models
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