Volatility in options formulae for general stochastic dynamics

DOI10.3934/dcdsb.2014.19.435zbMath1285.91128arXiv1306.0980OpenAlexW1976245178WikidataQ57712731 ScholiaQ57712731MaRDI QIDQ2438860

Fima C. Klebaner, Kais Hamza, Olivia Mah

Publication date: 7 March 2014

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1306.0980

zbMATH Keywords

Black-Scholes modelimplied volatility

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Stopping times and tightness
• On nonexistence of non-constant volatility in the Black-Scholes formula
• Generalized Ito's formula and additive functionals of Brownian motion
• On the implicit Black–Scholes formula
• The equivalent martingale measure conditions in a general model for interest rates

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