Symmetric martingales and symmetric smiles
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Publication:734666
DOI10.1016/J.SPA.2009.07.007zbMATH Open1177.60044OpenAlexW1992013909MaRDI QIDQ734666FDOQ734666
Authors: Michael R. Tehranchi 
Publication date: 13 October 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2009.07.007
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Cites Work
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Making Markov martingales meet marginals: With explicit constructions
- OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
- Changes of numéraire, changes of probability measure and option pricing
- Risk-neutral compatibility with option prices
- A family of non-Gaussian martingales with Gaussian marginals
- Put-call symmetry: extensions and applications
- Local volatility dynamic models
- TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
- A market model for stochastic implied volatility
- Arbitrage-free market models for option prices: the multi-strike case
- Symmetry and duality in Lévy markets
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Reflection principle and Ocone martingales
Cited In (11)
- Invariance properties of random vectors and stochastic processes based on the zonoid concept
- Weak reflection principle for Lévy processes
- Asian options on the harmonic average
- On the uniqueness of martingales with certain prescribed marginals
- Black-Scholes representation for Asian options
- Title not available (Why is that?)
- Exchangeability-type properties of asset prices
- On martingale diffusions describing the `smile-effect' for implied volatilities
- The term structure of implied volatility in symmetric models with applications to Heston
- Valuation of barrier options via a general self-duality
- Maximum drawdown insurance
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