Implied Volatility in Strict Local Martingale Models (2018)
Attributed to:
Asymptotics and dynamics of forward implied volatility
funded by
EPSRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1137/16m1069651
Publication URI: http://dx.doi.org/10.1137/16m1069651
Type: Journal Article/Review
Parent Publication: SIAM Journal on Financial Mathematics
Issue: 1