Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility (Q4216100)
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scientific article; zbMATH DE number 1213256
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| English | Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility |
scientific article; zbMATH DE number 1213256 |
Statements
Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility (English)
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22 November 1998
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arbitrage pricing
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equity index claims
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stochastic volatility
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Black-Scholes
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0.811034619808197
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0.7976762652397156
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0.7743478417396545
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0.7671657800674438
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0.765571653842926
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