TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS (Q3502126): Difference between revisions

@@ Property / author @@
-Martin Schweizer
@@ Property / author: Martin Schweizer / rank @@
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+Martin Schweizer
@@ Property / author: Martin Schweizer / rank @@
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+MaRDI publication profile
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+https://doi.org/10.1111/j.1467-9965.2007.00323.x
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+W2116285217
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@@ Property / cites work @@
+Pricing options on realized variance
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Q3374309
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+Risk-neutral compatibility with option prices
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+An arbitrage theory of the term structure of interest rates
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+Contingent Claims and Market Completeness in a Stochastic Volatility Model
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+A market model for stochastic implied volatility
@@ Property / cites work: A market model for stochastic implied volatility / rank @@
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+Some results on strong solutions of SDEs with applications to interest rate models
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