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Firmen-Mitarbeiter

FAM @ TU Vienna: Staff

fam.tuwien.ac.at

Verena Goldammer, Georg Grafendorfer, Beatrix Griesmeier, Pavel Grigoriev, Philip Gruber, Ismail Cetin Gülüm homepage , Ulrich Haböck, Jürgen Hartinger, ...

Dokumente zum Namen

Abstracts | 8th World Congress

www.bacheliercongress.com

Joint work with Ismail Cetin Gülüm. Thursday June 5, 14:30-15:00 | session 8.5 | Options, Futures | room G. We consider the at-the-money strike derivative of ...

The Small Maturity Implied Volatility Slope for L\'evy Models –...

www.scienceopen.com

We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the growth of the slope for...

Veröffentlichungen allgemein

The Small Maturity Implied Volatility Slope for Lévy Models - Open...

www.oalib.com

We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the growth of the slope for...

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