On the implicit Black–Scholes formula

DOI10.1080/17442500701607706zbMath1140.60022OpenAlexW2090032241WikidataQ57712771 ScholiaQ57712771MaRDI QIDQ5451162

Kais Hamza, Fima C. Klebaner

Publication date: 18 March 2008

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500701607706

zbMATH Keywords

semimartingaleimplied volatilityBlack-Scholes

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Volatility in options formulae for general stochastic dynamics

Cites Work

• The cumulant process and Esscher's change of measure
• Statistical inference for time-inhomogeneous volatility models.
• On nonexistence of non-constant volatility in the Black-Scholes formula
• A market model for stochastic implied volatility
• Stock Price Distributions with Stochastic Volatility: An Analytic Approach
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