Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
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Publication:4216100
DOI10.1142/S0219024998000059zbMath0908.90009OpenAlexW2011881037MaRDI QIDQ4216100
Publication date: 22 November 1998
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024998000059
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Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- A Theory of the Term Structure of Interest Rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
- Stock Price Distributions with Stochastic Volatility: An Analytic Approach
- Option pricing: A simplified approach
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