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Symmetric martingales and symmetric smiles
15 references·1 citing·45 second hop
Symmetric martingales and symmetric smiles (2009)Symmetric martingales and symmetric smilesRisk-neutral compatibility with option prices (2009)Risk-neutral compatibility wi…PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS (2009)PUT‐CALL SYMMETRY: EXTENSIONS…Local volatility dynamic models (2008)Local volatility dynamic mode…Arbitrage-free market models for option prices: the multi-strike case (2008)Arbitrage-free market models …TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS (2007)TERM STRUCTURES OF IMPLIED VO…A Family of Non-Gaussian Martingales with Gaussian Marginals (2007)A Family of Non-Gaussian Mart…Symmetry and duality in Lévy markets (2006)Symmetry and duality in Lévy …Making Markov martingales meet marginals: with explicit constructions (2002)Making Markov martingales mee…Some invariance properties (of the laws) of Ocone’s martingales (2000)Some invariance properties (o…Changes of Numeraire for Pricing Futures, Forwards, and Options (1999)Changes of Numeraire for Pric…A market model for stochastic implied volatility (1999)A market model for stochastic…OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1 (1996)OPTION HEDGING AND IMPLIED VO…Changes of numéraire, changes of probability measure and option pricing (1995)Changes of numéraire, changes…A Symmetry Characterization of Conditionally Independent Increment Martingales (1993)A Symmetry Characterization o…Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Bond Pricing and the Term Str…Change of numeraire in the two-marginals martingale transport problem (2016)Change of numeraire in the tw…Continuous Martingales and Brownian Motion (1999)Hyperbolic Processes in Finance (2003)From local volatility to local Lévy models (2004)Lévy random bridges and the modelling of financial information (2010)Mimicking an Itô process by a solution of a stochastic differential equation (2013)Brownian Motion and Stochastic Calculus (1998)Stochastic Integration and Differential Equations (2005)Brownian Motion and Stochastic Calculus (2007)Divergence and the Price of Uncertainty* (2018)Static hedging and pricing of exotic options with payoff frames (2018)Volatility has to be rough (2020)Stochastic Flows and Stochastic Differential Equations (1998)Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes (2010)Towards a Theory of Volatility Trading (2010)CONDITIONAL DENSITY MODELS FOR ASSET PRICING (2012)A Generative Adversarial Network Approach to Calibration of Local Stochastic Volatility Models (2020)The Pricing of Options and Corporate Liabilities (1973)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Contingent Claims and Market Completeness in a Stochastic Volatility Model (1997)Closed-Form Solutions for Perpetual American Put Options with Regime Switching (2004)On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility (2007)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)From implied to spot volatilities (2009)TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS (2011)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Option pricing when underlying stock returns are discontinuous (1976)Numerical pricing of discrete barrier and lookback options via Laplace transforms (2004)Pricing Path-Dependent Options with Jump Risk via Laplace Transforms (2005)Chapter 2 Jump-Diffusion Models for Asset Pricing in Financial Engineering (2007)Martingales and stochastic integrals in the theory of continuous trading (1981)Stochastic Differential Equations and Diffusion Processes (1983)A Theory of the Term Structure of Interest Rates (1985)A YIELD‐FACTOR MODEL OF INTEREST RATES (1996)Modeling Term Structures of Defaultable Bonds (1999)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Theory of Rational Option Pricing (1973)Closed Form Solutions for Term Structure Derivatives with Log‐Normal Interest Rates (1997)LIBOR and swap market models and measures (1997)Time-changed Lévy processes and option pricing (2003)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)The Dynamics of Implied Volatilities: A Common Principal Components Approach (2003)Approximation and Calibration of Short-Term Implied Volatilities Under Jump-Diffusion Stochastic Volatility (2006)Riding on the smiles (2011)
this work references cited by second hop

References

  • 1992Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation3,170 cited
  • 1995Changes of numéraire, changes of probability measure and option pricing808 cited
  • 1996OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL1240 cited
  • 1999A market model for stochastic implied volatility158 cited
  • 2009PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS123 cited
  • 2002Making Markov martingales meet marginals: with explicit constructions112 cited
  • 1999Changes of Numeraire for Pricing Futures, Forwards, and Options92 cited
  • 2007TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS90 cited
  • 2009Risk-neutral compatibility with option prices83 cited
  • 2008Local volatility dynamic models76 cited
  • 2008Arbitrage-free market models for option prices: the multi-strike case53 cited
  • 2006Symmetry and duality in Lévy markets51 cited
  • 1993A Symmetry Characterization of Conditionally Independent Increment Martingales44 cited
  • 2007A Family of Non-Gaussian Martingales with Gaussian Marginals37 cited
  • 2000Some invariance properties (of the laws) of Ocone’s martingales

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  • 2016Change of numeraire in the two-marginals martingale transport problem31 cited