An Hilbert space approach for a class of arbitrage free implied volatilities models
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- A. Brace & G. Fabbri & B. Goldys, 2007. "An Hilbert space approach for a class of arbitrage free implied volatilities models," Papers 0712.1343, arXiv.org, revised Dec 2007.
References listed on IDEAS
- H. Berestycki & J. Busca & I. Florent, 2002. "Asymptotics and calibration of local volatility models," Quantitative Finance, Taylor & Francis Journals, vol. 2(1), pages 61-69.
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- Martin Schweizer & Johannes Wissel, 2008. "Arbitrage-free market models for option prices: the multi-strike case," Finance and Stochastics, Springer, vol. 12(4), pages 469-505, October.
- repec:wsi:ijtafx:v:12:y:2009:i:04:n:s0219024909005336 is not listed on IDEAS
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KeywordsImplied volatility; Option pricing; Stochastic SPDE; Hilbert space;
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-01-05 (All new papers)
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