Total Positivity and Convexity in Options
The chapter explores total positivity and relative convexity properties in option pricing models, demonstrating that these properties generally hold in time-homogeneous local volatility models.
Featured in No. 30 on 20 Dec 2023 · on release day
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- 20 Dec 2023
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- No. 30 · 20 Dec 2023
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- RePEc:wsi:wschap:9789811280306_0012
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