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ArticleSymmetric martingales and symmetric smiles

Michael R. Tehranchi2009

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Articlebronze2009

Symmetric martingales and symmetric smiles

Michael R. Tehranchi

31 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

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References

1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation 1995Changes of numéraire, changes of probability measure and option pricing 1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 1999A market model for stochastic implied volatility 2009PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS 2002Making Markov martingales meet marginals: with explicit constructions 1999Changes of Numeraire for Pricing Futures, Forwards, and Options 2007TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS

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2016Change of numeraire in the two-marginals martingale transport problem

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Year2009

Typearticle

Published2009-07-30

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations31

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2009.07.007

openalex_workW1992013909

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