Reconstruction of volatiilty

Pricing index options by the steepest descent approximation

Marco Avellaneda, Dash Boyer-Olson, J. Busca, P. Fritz

Research output: Contribution to journalArticle

Original languageEnglish (US)
JournalRISK
StatePublished - 2003

Cite this

Reconstruction of volatiilty : Pricing index options by the steepest descent approximation. / Avellaneda, Marco; Boyer-Olson, Dash; Busca, J.; Fritz, P.

In: RISK, 2003.

Research output: Contribution to journalArticle

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title = "Reconstruction of volatiilty: Pricing index options by the steepest descent approximation",
author = "Marco Avellaneda and Dash Boyer-Olson and J. Busca and P. Fritz",
year = "2003",
language = "English (US)",
journal = "RISK",

}

TY - JOUR

T1 - Reconstruction of volatiilty

T2 - Pricing index options by the steepest descent approximation

AU - Avellaneda, Marco

AU - Boyer-Olson, Dash

AU - Busca, J.

AU - Fritz, P.

PY - 2003

Y1 - 2003

M3 - Article

JO - RISK

JF - RISK

ER -