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Publication Search Results
Exact matches for:
- Author = Roper M
1.
Roper M
Michael Roper:
Implied volatility: small time-to-expiry asymptotics in exponential Levy models,
(2010),
preprint.
2.
Roper M
Michael Roper:
Arbitrage Free Implied Volatility Surfaces,
(2010),
preprint.
3.
Roper M, Rutkowski M
M Roper and M Rutkowski:
On the relationship between the call price surface and the implied volatility surface close to expiry,
International review of applied financial issues and economics,
12
(2009),
427–441.
| Number of matches: 3 |