Tangent Lévy market models
type: Item
instance of: scholarly article
title: Tangent Lévy market models
zbMATH Open document ID: 1259.91047
author: Sergey Nadtochiy
author: René Carmona
published in: Finance and Stochastics
publication date: 2012-11-15T00:00:00Z
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 6106799
zbMATH Keywords: implied volatility surface
zbMATH Keywords: tangent models
zbMATH Keywords: Lévy processes
zbMATH Keywords: market models
zbMATH Keywords: arbitrage-free term structure dynamics
zbMATH Keywords: Heath-Jarrow-Morton theory
MaRDI profile type: Publication
full work available at URL: s00780-011-0158-8
OpenAlex ID: W2050888606
cites work: Forward equations for option prices in semimartingale models
cites work: Expensive martingales
cites work: An infinite dimensional stochastic analysis approach to local volatility dynamic models
cites work: Local volatility dynamic models
cites work: Interest rate models: an infinite dimensional stochastic analysis perspective
cites work: Financial Modelling with Jump Processes
cites work: Integro-differential equations for option prices in exponential Lévy models
cites work: THE RANGE OF TRADED OPTION PRICES
cites work: Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
cites work: Q4148368
cites work: Term Structure Models Driven by Wiener Processes and Poisson Measures: Existence and Positivity
cites work: Mimicking the one-dimensional marginal distributions of processes having an Ito differential
cites work: Risk-neutral compatibility with option prices
cites work: Q4778955
cites work: A Jump-Diffusion Model for Option Pricing
cites work: Gaussian measures in Banach spaces
cites work: Sur l'int�grabilit� uniforme des martingales exponentielles
cites work: Option pricing when underlying stock returns are discontinuous
cites work: Stochastic Equations in Infinite Dimensions
cites work: Q4937701
cites work: A market model for stochastic implied volatility
cites work: Arbitrage-free market models for option prices: the multi-strike case
cites work: TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
DOI: 10.1007/S00780-011-0158-8
description: scientific article; zbMATH DE number 6106799