Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles

DOI10.1137/100809933zbMath1260.60079OpenAlexW3122669482MaRDI QIDQ4902210

Laurent Cousot, Peter Carr

Publication date: 25 January 2013

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

Full work available at URL: https://doi.org/10.1137/100809933

zbMATH Keywords

diffusionmartingalecalibrationoptiontime changejump-diffusionmarginal distribution

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Discrete-time Markov processes on general state spaces (60J05) Stochastic models in economics (91B70) Financial applications of other theories (91G80) Transition functions, generators and resolvents (60J35)

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