Model-free stochastic collocation for an arbitrage-free implied volatility. I.
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Publication:2292062
DOI10.1007/s10203-019-00238-xzbMath1431.91400OpenAlexW2915689706WikidataQ128344114 ScholiaQ128344114MaRDI QIDQ2292062
Fabien Le Floc'h, Cornelis W. Oosterlee
Publication date: 31 January 2020
Published in: Decisions in Economics and Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10203-019-00238-x
Related Items (2)
The log‐moment formula for implied volatility ⋮ Volatility and volatility-linked derivatives: estimation, modeling, and pricing
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Cites Work
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