ON THE CONSISTENCY OF THE DETERMINISTIC LOCAL VOLATILITY FUNCTION MODEL ('IMPLIED TREE')

DOI10.1142/S0219024901001036zbMath1153.91564arXivcond-mat/0001117OpenAlexW1528205212MaRDI QIDQ3523587

Karl Strobl

Publication date: 3 September 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/0001117

zbMATH Keywords

exotic optionsmarket incompletenessstochastic local volatilityimplied treesskew modelsVega hedging

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Martingales and arbitrage in multiperiod securities markets
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Uncertain Parameters, an Empirical Stochastic Volatility Model and Confidence Limits
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Calibrating volatility surfaces via relative-entropy minimization

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