Nonparametric spot volatility from options (Q2299587)

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Nonparametric spot volatility from options
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    title
    Nonparametric spot volatility from options (English)
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    DOI
    10.1214/19-AAP1488
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    author
    Viktor Todorov
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    publication date
    21 February 2020
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    Mathematics Subject Classification ID
    91G20
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    91G10
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    62P05
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    62G05
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    zbMATH DE Number
    7172342
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    zbMATH Keywords
    Itô semimartingale
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    jumps
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    nonparametric inference
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    options
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    stable convergence
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    stochastic volatility
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