Implied Volatility in Strict Local Martingale Models

DOI10.1137/16M1069651zbMath1408.91239arXiv1508.04351OpenAlexW2962729164MaRDI QIDQ4635246

Martin Keller-Ressel, Antoine Jacquier

Publication date: 16 April 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.04351

zbMATH Keywords

asymptotic methodsimplied volatilityasset price bubblesstrict local martingale

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Generalizations of martingales (60G48) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Uniform Bounds for Black--Scholes Implied Volatility, The log‐moment formula for implied volatility, A Black-Scholes inequality: applications and generalisations, Long-Time Large Deviations for the Multiasset Wishart Stochastic Volatility Model and Option Pricing, Generalized Arbitrage-Free SVI Volatility Surfaces

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