Explicit constructions of martingales calibrated to given implied volatility smiles (Q4902210)
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scientific article; zbMATH DE number 6130641
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Explicit constructions of martingales calibrated to given implied volatility smiles |
scientific article; zbMATH DE number 6130641 |
Statements
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles (English)
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25 January 2013
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martingale
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marginal distribution
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diffusion
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jump-diffusion
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calibration
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option
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time change
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0.7736888527870178
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0.7689582109451294
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0.760752260684967
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0.750679075717926
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0.7485895752906799
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