{"entities":{"Q2756663":{"pageid":2767402,"ns":120,"title":"Item:Q2756663","lastrevid":79258220,"modified":"2026-05-06T13:30:37Z","type":"item","id":"Q2756663","labels":{"en":{"language":"en","value":"On martingale diffusions describing the `smile-effect' for implied volatilities"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 1674034"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2756663$E3A089DE-969C-44A5-800F-B5B8F8E8834B","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"5ab3697789f2fe04f3bf03228be1a793dd0a4eb2","datavalue":{"value":"0980.60079","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2756663$675D1CEB-2A6D-4FBA-B898-8CD53C17F356","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"3a1ad1c5bda80081de8141fa9115691107f30569","datavalue":{"value":{"time":"+2001-11-18T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2756663$FAF7A32C-6B7E-42CC-BDF5-D7C0BAFAF481","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"b1355fbb4f7dce5b1a2a667a659d4b16ecef07e4","datavalue":{"value":"60H10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2756663$7B9C226A-1105-49D6-B4FB-1A0AEAE2F8BA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"4a8fc00d3d69e1837f024970c798053ff342d011","datavalue":{"value":"62P05","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2756663$E9994A16-8544-4EE2-B0D9-B003A10F47FF","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"c7f335c4fd358119b822d67665c88a681911baeb","datavalue":{"value":"1674034","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2756663$1AEA20F7-AFB7-476D-B985-7B00831A917F","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"8303a89e5e979e44e65aa210688e1071093c7c30","datavalue":{"value":"martingale","type":"string"},"datatype":"string"},"type":"statement","id":"Q2756663$2961AB9B-2367-4D73-9A15-28F5698FB782","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"49982ff08be677128ea03fcb343ed21e4a882bca","datavalue":{"value":"implied volatilities","type":"string"},"datatype":"string"},"type":"statement","id":"Q2756663$00B4D926-0C55-4947-A6EB-C5358537826A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9f87a7c8a0b5cb39f4ecc9cfd7b184a2c3c2f3b0","datavalue":{"value":"diffusion","type":"string"},"datatype":"string"},"type":"statement","id":"Q2756663$05358A27-B4B0-4B00-A6D2-0F4B781C6BE6","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b1f2ddce604924ab32527569a0f52666c50cc2ec","datavalue":{"value":"option pricing","type":"string"},"datatype":"string"},"type":"statement","id":"Q2756663$F553F160-93E4-4594-B7B8-C95CBE456BD9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"08c8d5eb80436dc75c50fd8573f2beb6af1167c5","datavalue":{"value":"stochastic differential equation","type":"string"},"datatype":"string"},"type":"statement","id":"Q2756663$C6DD8CA9-64D5-432B-8DFA-09BFCF1A2F00","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"ed9ec045f406f39d72a42b8bbc155e3a64f6869a","datavalue":{"value":{"entity-type":"item","numeric-id":1164081,"id":"Q1164081"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2756663$194B430D-57EA-4B2F-BBD7-0599E276F047","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2756663$6B33CD14-4CCC-4C39-9CE7-91730B464C31","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"54097f37d8ca49350bc9e4129ae297dedbaf65cd","datavalue":{"value":{"entity-type":"item","numeric-id":4218398,"id":"Q4218398"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2756663$2A0061CE-7D4C-410A-83C4-9A3ECDD42A28","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"2f8080dce2a818892f9f673632cecff7568b4280","datavalue":{"value":"W1991963301","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2756663$EB92B372-6632-46B9-88AC-F51C70ADABD4","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"7281012d3dd012b6612edbcc38c602f477a55bc5","datavalue":{"value":"10.1002/(SICI)1526-4025(200001/03)16:1%3C1::AID-ASMB382%3E3.0.CO;2-E","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2756663$67766E19-DB4C-4290-A353-AE886064CEAE","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"9df8cfcd7d1074f984a3b5177c34f6cfcd0dff63","datavalue":{"value":"https://doi.org/10.1002/(sici)1526-4025(200001/03)16:1%3C1::aid-asmb382%3E3.0.co;2-e","type":"string"},"datatype":"url"},"type":"statement","id":"Q2756663$8471AD0E-C1BA-4F01-816B-690BDAA9606F","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"0861f306ebabd8d95debf0f183f34500d8d61294","datavalue":{"value":{"text":"On martingale diffusions describing the `smile-effect' for implied volatilities","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2756663$B0FE9B97-BF5D-4989-BD3D-234870E3168D","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"f25b94b50fe7680e791bf89b311bfc2e650c6a4e","datavalue":{"value":{"entity-type":"item","numeric-id":69913,"id":"Q69913"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2756663$D4C26DAA-EBB8-4A0E-9270-E7A45E8CF5E4","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"bc29fa3b3b03863b9e975af2a7d575880b7f565c","datavalue":{"value":"Diffusion models describing the `smile-effect' of implied volatilities for option prices are considered. These models describe the stock price by martingale diffusions of the form \\(dX(t) = b(X(t)) dW_t\\), where \\(W_t\\) is a Brownian motion, \\(b\\) is a certain explicitly deduced smooth function of one variable that does not explicitly depend on time parameter \\(t\\). The value at time \\(t\\) of a unit volume European call option with maturity \\(T\\) is then calculated by the conditional expectation \\(C(x, t, K, T) = E ((X(T)-K)^+\\mid X(t) =x).\\) Under some assumptions on the time-homogeneous diffusion process \\(X(t)\\) the author proves that despite other restrictions the following necessary simple symmetry condition holds for the resulting function \\(C\\): \\(C(x, t, K, T) = x -K + C(K, t, x, T).\\) The author shows that for certain examples of empirically observed option prices which are reported in the literature this functional equation does not hold.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2756663$6F9E5FED-BF16-46D9-A2C5-5FA6D774457A","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"2c9bcc053c4548deef1a0a15ea05b51ac3e7d420","datavalue":{"value":{"entity-type":"item","numeric-id":829816,"id":"Q829816"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2756663$619AA24C-E39A-48FC-AED5-A9055B4437BD","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"b1079e1e2e1ccb59741dc2d01ef2de0d146eae5f","datavalue":{"value":{"entity-type":"item","numeric-id":734666,"id":"Q734666"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"b984730ed4db91876211ab0eb7e4723f25b7449f","datavalue":{"value":{"amount":"+0.7685866355895996","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2756663$658333BC-C268-4A70-A0F5-79ECC679E4EC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"786b1617252d97165e852fa8297173ba19f42b2a","datavalue":{"value":{"entity-type":"item","numeric-id":2782353,"id":"Q2782353"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"62085c828a4634dafeb9d57df8c9d5d5cd2a3fbf","datavalue":{"value":{"amount":"+0.765558123588562","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2756663$86444437-1A12-44A0-A93F-F3BA3919E04C","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a9712a77e610b241f93adbea0d5ec22a005620b2","datavalue":{"value":{"entity-type":"item","numeric-id":5280242,"id":"Q5280242"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"62085c828a4634dafeb9d57df8c9d5d5cd2a3fbf","datavalue":{"value":{"amount":"+0.765558123588562","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2756663$43000EA8-23F3-4874-8A04-B045282CC9BD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"9e975faa5f82b72b937a1f3e1a535bdabd180b6f","datavalue":{"value":{"entity-type":"item","numeric-id":2725579,"id":"Q2725579"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"35baae567cca0f7d1f8cfb1c2fff2ebd6d205ced","datavalue":{"value":{"amount":"+0.7503799796104431","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2756663$0F79E8AE-0E3F-4D56-B60A-FC3CF9E09B1E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"406c31df68bc3deb77ff116acfc0cb21f69010d5","datavalue":{"value":{"entity-type":"item","numeric-id":5944948,"id":"Q5944948"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"b29f0b443e67af6e43bac968d01026d07c8e64bc","datavalue":{"value":{"amount":"+0.7503799200057983","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2756663$ACF8F52D-6CB4-4FBB-84E9-08632095BC4F","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"On martingale diffusions describing the `smile-effect' for implied volatilities","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/On_martingale_diffusions_describing_the_%60smile-effect%27_for_implied_volatilities"}}}}}