Finite arbitrage times and the volatility smile?
From MaRDI portal
Publication:5947893
DOI10.1016/S0378-4371(01)00309-0zbMath0997.91029MaRDI QIDQ5947893
Publication date: 23 October 2001
Published in: Physica A (Search for Journal in Brave)
stochastic processesfinite averagemean field approachnonequilibrium option pricing theoryvolatility surfaces
Cites Work
- The Pricing of Options and Corporate Liabilities
- Martingales and stochastic integrals in the theory of continuous trading
- The Black-Scholes option pricing problem in mathematical finance: generalization and extensions for a large class of stochastic processes
- On Quadratic Cost Criteria for Option Hedging
- Variance-Optimal Hedging in Discrete Time
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