Book Chapter10.1007/978-3-319-11605-1_7

Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model

Christian Bayer,Peter Laurence-2015-01-01-Springer proceedings in mathematics & statistics

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Keywords

Volatility (finance)Local volatilityImplied volatilityEconometricsEconomicsVolatility smileSABR volatility modelStochastic volatility

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