A Black-Scholes inequality: applications and generalisations

DOI10.1007/s00780-019-00410-6zbMath1432.91126arXiv1701.03897OpenAlexW4252536529WikidataQ126998894 ScholiaQ126998894MaRDI QIDQ2282961

Michael R. Tehranchi

Publication date: 27 December 2019

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1701.03897

zbMATH Keywords

option pricingimplied volatilitycall price surface

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

No Arbitrage SVI ⋮ No arbitrage global parametrization for the eSSVI volatility surface

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Peacocks and associated martingales, with explicit constructions
• Lift zonoids, random convex hulls and the variability of random vectors
• New formulas for the Legendre-Fenchel transform.
• Extremal properties of half-spaces for log-concave distributions
• Local martingales, bubbles and option prices
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Arbitrage-free SVI volatility surfaces
• Lift zonoid order and functional inequalities
• Uniform Bounds for Black--Scholes Implied Volatility
• Asymptotic Formulas with Error Estimates for Call Pricing Functions and the Implied Volatility at Extreme Strikes
• Static-arbitrage upper bounds for the prices of basket options
• Multivariate Extension of Put-Call Symmetry
• REGULAR VARIATION AND SMILE ASYMPTOTICS
• PUT‐CALL SYMMETRY: EXTENSIONS AND APPLICATIONS
• Shapes of Implied Volatility with Positive Mass at Zero
• Implied Volatility in Strict Local Martingale Models
• On peacocks and lyrebirds: Australian options, Brownian bridges, and the average of submartingales
• A Simple Geometric Proof that Comonotonic Risks Have the Convex-Largest Sum
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Optimal Control of Favorable Games with a Time Limit
• Semi‐efficient valuations and put‐call parity

This page was built for publication: A Black-Scholes inequality: applications and generalisations