Explicit constructions of martingales calibrated to given implied volatility smiles

DOI10.1137/100809933MaRDI QIDQ4902210zbMATH OpenOpenAlexFDO

Authors Peter Carr, Laurent Cousot

Publication date 25 January 2013

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/100809933

zbMATH Keywords

calibrationdiffusionjump-diffusionmarginal distributionmartingaleoptiontime change

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Discrete-time Markov processes on general state spaces (60J05) Transition functions, generators and resolvents (60J35) Stochastic models in economics (91B70) Financial applications of other theories (91G80)

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(4)

• Testing the martingale restriction for option implied densities
• A PDE approach to jump-diffusions
• Mimicking martingales
• Symmetric martingales and symmetric smiles

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