A remark on Gatheral's 'most-likely path approximation' of implied volatility
dc.contributor.author
Keller-Ressel, Martin
dc.contributor.author
Teichmann, Josef
dc.contributor.editor
Friz, Peter K.
dc.contributor.editor
Gatheral, Jim
dc.contributor.editor
Gulisashvili, Archil
dc.contributor.editor
Jacquier, Antoine
dc.contributor.editor
Teichmann, Josef
dc.date.accessioned
2020-01-22T07:19:24Z
dc.date.available
2017-06-09T08:41:44Z
dc.date.available
2020-01-22T07:19:24Z
dc.date.issued
2015
dc.identifier.isbn
978-3-319-11604-4
en_US
dc.identifier.isbn
978-3-319-11605-1
en_US
dc.identifier.issn
2194-1009
dc.identifier.issn
2194-1017
dc.identifier.other
10.1007/978-3-319-11605-1_8
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/28191
dc.language.iso
en
en_US
dc.publisher
Springer
en_US
dc.subject
Implied volatility
en_US
dc.subject
Local volatility
en_US
dc.subject
Most-likely path
en_US
dc.title
A remark on Gatheral's 'most-likely path approximation' of implied volatility
en_US
dc.type
Conference Paper
dc.date.published
2015-06-17
ethz.book.title
Large Deviations and Asymptotic Methods in Finance
en_US
ethz.journal.title
Springer Proceedings in Mathematics & Statistics
ethz.journal.volume
110
en_US
ethz.journal.abbreviated
PROMS
ethz.pages.start
239
en_US
ethz.pages.end
245
en_US
ethz.event
Workshop on Large Deviations and Asymptotic Methods in Finance
en_US
ethz.event.location
London, United Kingdom
en_US
ethz.event.date
April 9-11, 2013
en_US
ethz.identifier.scopus
ethz.identifier.nebis
010504957
ethz.publication.place
Cham
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.relation.isPartOf
20.500.11850/116893
ethz.date.deposited
2017-06-09T08:41:58Z
ethz.source
ECIT
ethz.identifier.importid
imp59364d857dce818869
ethz.ecitpid
pub:47236
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-12T20:09:33Z
ethz.rosetta.lastUpdated
2020-01-22T07:19:35Z
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true
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Conference Paper [34963]