No-dynamic-arbitrage and market impact

DOI10.1080/14697680903373692zbMath1194.91208OpenAlexW3125123194MaRDI QIDQ2786278

Publication date: 21 September 2010

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903373692

zbMATH Keywords

stochastic volatility volatility surfaces stochastic jumps options pricing volatility modelling options volatility volatility smile fitting

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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