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Adiabaticity Conditions for Volatility Smile in Black-Scholes Pricing Model
Volatility smile Black-Sholes model no-arbitrage conditions
2010/4/27
Our derivation of the distribution function for future returns is based on the risk neutral approach which gives a functional dependence for the European call (put) option price, C(K), given the strik...
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment $s^{*}$ can be obtained by solving (numerically) a simple equation. This yields a leading ...