A SIMPLE TIME-CONSISTENT MODEL FOR THE FORWARD DENSITY PROCESS
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Publication:5411745
DOI10.1142/S0219024913500489zbMath1290.91164arXiv1301.4869MaRDI QIDQ5411745
Johan Nykvist, Filip Lindskog, Henrik Hult
Publication date: 25 April 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1301.4869
60H30: Applications of stochastic analysis (to PDEs, etc.)
60G44: Martingales with continuous parameter
91G20: Derivative securities (option pricing, hedging, etc.)
Cites Work
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- Arbitrage-free market models for option prices: the multi-strike case
- Local volatility dynamic models
- LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
- THE RANGE OF TRADED OPTION PRICES
- CONDITIONAL DENSITY MODELS FOR ASSET PRICING
- Expensive martingales