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Implied Volatility in Strict Local Martingale Models - MaRDI portal

Implied Volatility in Strict Local Martingale Models (Q4635246)

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scientific article; zbMATH DE number 6860071
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English
Implied Volatility in Strict Local Martingale Models
scientific article; zbMATH DE number 6860071

    Statements

    title
    Implied Volatility in Strict Local Martingale Models (English)
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    author
    Antoine Jacquier
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    Martin Keller-Ressel
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    publication date
    16 April 2018
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    zbMATH Keywords
    implied volatility
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    asymptotic methods
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    strict local martingale
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    asset price bubbles
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    cites work
    Q5558293
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    Q3884898
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    Q4726487
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    Q3972685
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    Q4778955
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    Q4039796
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    Q4942767
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    Q5294261
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    Q5639085
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    Q4492756
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    Identifiers

    DOI
    10.1137/16M1069651
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    Mathematics Subject Classification ID
    91G70
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    91G20
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    60G48
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    41A60
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    zbMATH DE Number
    6860071
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    arXiv ID
    1508.04351
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    OpenAlex ID
    W2962729164
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