On the implicit Black–Scholes formula
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Publication:5451162
DOI10.1080/17442500701607706zbMath1140.60022OpenAlexW2090032241WikidataQ57712771 ScholiaQ57712771MaRDI QIDQ5451162
Publication date: 18 March 2008
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442500701607706
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
- The cumulant process and Esscher's change of measure
- Statistical inference for time-inhomogeneous volatility models.
- On nonexistence of non-constant volatility in the Black-Scholes formula
- A market model for stochastic implied volatility
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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