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Coupling smiles

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Publication:3539543

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DOI10.1080/14697680701691444zbMath1152.91505OpenAlexW4230300786MaRDI QIDQ3539543

Nicole El Karoui, Valdo Durrleman

Publication date: 18 November 2008

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680701691444

zbMATH Keywords

stochastic volatility volatility surfaces implied volatilities volatility modelling

Mathematics Subject Classification ID

Related Items (3)

Local volatility dynamic models ⋮ EQUITY CORRELATIONS IMPLIED BY INDEX OPTIONS: ESTIMATION AND MODEL UNCERTAINTY ANALYSIS ⋮ Nonparametric estimation for stochastic volatility models

Cites Work

Robustness of the Black and Scholes Formula

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