SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATES EFFECTS

By DAN PIRJOL, LINGJIONG ZHU

Published 2024-02-21

Everscope rating

1533.2

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Large deviations theory. Problem types: Option Pricing, Asymptotic Analysis.

arXiv:2402.14161 · Paper rankings

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