Implied Volatility in Strict Local Martingale Models

SIAM Journal on Financial Mathematics 2018 / 01 Vol. 9; Iss. 1

Implied Volatility in Strict Local Martingale Models

Jacquier, Antoine, Keller-Ressel, Martin
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Volume:
9
Language:
english
Journal:
SIAM Journal on Financial Mathematics
DOI:
10.1137/16M1069651
Date:
January, 2018
File:
PDF, 430 KB
english, 2018
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