Nonparametric estimation for stochastic volatility models

DOI10.1007/s00780-009-0112-1zbMath1224.91192MaRDI QIDQ5971188

Valdo Durrleman

Publication date: 6 April 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0112-1

zbMATH Keywords

asymptotic analysis; option price; implied volatility; martingale representation; Itô-Wentzell formula; spot volatility

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91G80: Financial applications of other theories

91G20: Derivative securities (option pricing, hedging, etc.)

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