Eric Reiner

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  • Peter Carr, Michael Tari, Thaleia Zariphopoulou, Claudio Albanese, Anlong Li, Dilip Madan +1 other
Assuming that the underlying local volatility is a function of stock price and time, we develop an approach for generating closed form solutions for option values for a certain class of volatility functions. The class is the set of volatility functions which solve the same partial differential equation as derivative security values in the Black Scholes(More)
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