Implied Volatility in Strict Local Martingale Models-Reference-Cited by-同舟云学术

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Implied Volatility in Strict Local Martingale Models

Published:2018-01 Issue:1 Volume:9 Page:171-189
ISSN:1945-497X
Container-title:SIAM Journal on Financial Mathematics
language:en
Short-container-title:SIAM J. Finan. Math.

Author:

Jacquier Antoine,Keller-Ressel Martin

Funder

Deutsche Forschungsgemeinschaft

Engineering and Physical Sciences Research Council

Publisher

Society for Industrial & Applied Mathematics (SIAM)

Subject

Applied Mathematics,Finance,Numerical Analysis

Link

https://epubs.siam.org/doi/pdf/10.1137/16M1069651

Reference34 articles.

1. Option pricing with quadratic volatility: a revisit

2. REGULAR VARIATION AND SMILE ASYMPTOTICS

3. On exponential local martingales associated with strong Markov continuous local martingales

4. On the hedging of options on exploding exchange rates

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4. Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing;SIAM Journal on Financial Mathematics;2019-01

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