Deterministic implied volatility models

DOI10.1088/1469-7688/2/1/303zbMath1405.91580OpenAlexW2127608836MaRDI QIDQ4646768

Philippe Balland

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/2/1/303

zbMATH Keywords

Black-Scholes modelinterest rateLevy processesdeterministic volatility modelsportfolios of vanilla options

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

Dynamics of implied volatility surfaces ⋮ Pricing of index options under a minimal market model with log-normal scaling ⋮ The stock implied volatility and the implied dividend volatility

Cites Work

• The Pricing of Options and Corporate Liabilities
• Hedging contingent claims on semimartingales
• Towards a general theory of bond markets
• Stochastic processes and orthogonal polynomials
• Probability essentials.
• Chaotic and predictable representations for Lévy processes.
• Hyperbolic distributions in finance
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Dynamics of implied volatility surfaces
• A market model for stochastic implied volatility
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Stochastic differential equations. An introduction with applications.
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