When Are Option Prices TP2 ?

Author:

Glasserman Paul,Pirjol Dan

Publisher

Elsevier BV

Reference32 articles.

1. Mills' ratio: Monotonicity patterns and functional inequalities;A Baricz;Journal of Mathematical Analysis and Applications,2008

2. On sufficient conditions for mean residual life and related orders;F Belzunce;Computational Statistics and Data Analysis,2013

3. Regular variation and smile asymptotics;S Benaim;Mathematical Finance,2009

4. Smile asymptotics II: Models with known generating functions;S Benaim;Journal of Applied Probability,2008

5. MRL order, log-concavity and an application to peacocks;A M Bogso;Stochastic Processes and their Applications,2015

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