ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE') (Q3523587): Difference between revisions

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+cond-mat/0001117
@@ Property / arXiv ID: cond-mat/0001117 / rank @@
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+Calibrating volatility surfaces via relative-entropy minimization
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+Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
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+Martingales and arbitrage in multiperiod securities markets
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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@@ Property / cites work @@
+Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
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+Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
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+W1528205212
@@ Property / OpenAlex ID: W1528205212 / rank @@
+Normal rank