Symmetric martingales and symmetric smiles

DOI10.1016/J.SPA.2009.07.007MaRDI QIDQ734666zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

implied volatilityOcone martingalessymmetric increments

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Martingales with continuous parameter (60G44)

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Cites work

• scientific article; zbMATH DE number 432961 (Why is no real title available?)
• scientific article; zbMATH DE number 503143 (Why is no real title available?)
• scientific article; zbMATH DE number 1500604 (Why is no real title available?)
• A family of non-Gaussian martingales with Gaussian marginals
• A market model for stochastic implied volatility
• Arbitrage-free market models for option prices: the multi-strike case
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Changes of numéraire, changes of probability measure and option pricing
• Local volatility dynamic models
• Making Markov martingales meet marginals: With explicit constructions
• OPTION HEDGING AND IMPLIED VOLATILITIES IN A STOCHASTIC VOLATILITY MODEL
• Put-call symmetry: extensions and applications
• Reflection principle and Ocone martingales
• Risk-neutral compatibility with option prices
• Symmetry and duality in Lévy markets
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS

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
• scientific article; zbMATH DE number 432961 (Why is no real title available?)
• 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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