On the implicit Black–Scholes formula

DOI10.1080/17442500701607706MaRDI QIDQ5451162zbMATH OpenOpenAlexWikidataFDO

Authors K. Hamza, Fima Klebaner

Publication date 18 March 2008

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442500701607706

zbMATH Keywords

Black-Scholesimplied volatilitysemimartingale

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

• A market model for stochastic implied volatility
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 2199827 (Why is no real title available?)
• On nonexistence of non-constant volatility in the Black-Scholes formula
• Statistical inference for time-inhomogeneous volatility models.
• Stock price distributions with stochastic volatility: an analytic approach
• The cumulant process and Esscher's change of measure

Cited in

(12)

• Unifying Black-Scholes type formulae which involve Brownian last passage times up to a finite horizon
• A Black-Scholes inequality: applications and generalisations
• Volatility in options formulae for general stochastic dynamics
• On nonexistence of non-constant volatility in the Black-Scholes formula
• On the structure of proper Black-Scholes formulae
• scientific article; zbMATH DE number 2163514 (Why is no real title available?)
• scientific article; zbMATH DE number 6133391 (Why is no real title available?)
• scientific article; zbMATH DE number 6260947 (Why is no real title available?)
• Can there be an explicit formula for implied volatility?
• The instantaneous volatility and the implied volatility surface for a generalized Black-Scholes model
• The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets
• Alternative specifications of the errors in the Black-Scholes option-pricing model and various implied-variance formulas

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