A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility, in Large Deviations and Asymptotic Methods in Finance, Springer Proceedings in Mathematics and Statistics Series
A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility, in Large Deviations and Asymptotic Methods in Finance, Springer Proceedings in Mathematics and Statistics Series
AuthorJ. Teichmann, M. Keller-Ressel, eds. P. Friz, J. Gatheral, A. Gulisashvili, A. Jacquier, J. Teichmann
JournalSpringer Interanational Publishing AG (Switzerland).