On martingale diffusions describing the ?smile-effect? for implied volatilities

DOI<1::AID-ASMB382>3.0.CO;2-E 10.1002/(SICI)1526-4025(200001/03)16:1<1::AID-ASMB382>3.0.CO;2-EzbMath0980.60079OpenAlexW1991963301MaRDI QIDQ2756663

Hans-Jochen Bartels

Publication date: 18 November 2001

Full work available at URL: https://doi.org/10.1002/(sici)1526-4025(200001/03)16:1<1::aid-asmb382>3.0.co;2-e

zbMATH Keywords

diffusionstochastic differential equationoption pricingmartingaleimplied volatilities

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

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