Martingale defects in the volatility surface and bubble conditions in the underlying (Q6549861)
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scientific article; zbMATH DE number 7859635
| Language | Label | Description | Also known as |
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| default for all languages | No label defined |
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| English | Martingale defects in the volatility surface and bubble conditions in the underlying |
scientific article; zbMATH DE number 7859635 |
Statements
Martingale defects in the volatility surface and bubble conditions in the underlying (English)
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4 June 2024
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stock price bubbles
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martingale defect
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strict local martingales
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SABR model
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0.7746948003768921
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0.7712828516960144
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0.7554149627685547
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0.7424129247665405
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0.7321293354034424
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