SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATES EFFECTS
By DAN PIRJOL, LINGJIONG ZHU
Rating
1419
Battle Count: 235
Relevance
8/10
Provides improved short-maturity option pricing formulas that account for interest rate effects, which is highly relevant for quantitative trading strategies involving options
Implementation Complexity
7/10
Requires advanced mathematical knowledge and numerical implementation of complex formulas
Reproducibility
4/5
Detailed mathematical derivations and proofs are provided, facilitating reproducibility
About this paper
Methodology: Large deviations theory. Problem types: Option Pricing, Asymptotic Analysis.
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