Martingale defects in the volatility surface and bubble conditions in the underlying
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Publication:6549861
DOI10.1007/S11147-023-09200-XzbMATH Open1537.91335MaRDI QIDQ6549861
Publication date: 4 June 2024
Published in: Review of Derivatives Research (Search for Journal in Brave)
Stochastic models in economics (91B70) Derivative securities (option pricing, hedging, etc.) (91G20) Martingales and classical analysis (60G46)
Cites Work
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- How to Detect an Asset Bubble
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- Simple Finite Horizon Bubbles Robust to Higher Order Knowledge
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