Symmetric martingales and symmetric smiles

DOI10.1016/j.spa.2009.07.007zbMath1177.60044MaRDI QIDQ734666

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

zbMATH Keywords

implied volatility; Ocone martingales; symmetric increments

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

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

Related Items

Asian options on the harmonic average, On the Uniqueness of Martingales with Certain Prescribed Marginals, VALUATION OF BARRIER OPTIONS VIA A GENERAL SELF‐DUALITY, Invariance properties of random vectors and stochastic processes based on the zonoid concept, Weak reflection principle for Lévy processes, BLACK-SCHOLES REPRESENTATION FOR ASIAN OPTIONS, THE TERM STRUCTURE OF IMPLIED VOLATILITY IN SYMMETRIC MODELS WITH APPLICATIONS TO HESTON, Exchangeability-type properties of asset prices, MAXIMUM DRAWDOWN INSURANCE

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