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Term Structures Of Implied Volatilities: Absence Of Arbitrage And Existence Results

Citations

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Cited by:

  1. Beissner, Patrick & Rosazza Gianin, Emanuela, 2018. "The Term Structure of Sharpe Ratios and Arbitrage-Free Asset Pricing in Continuous Time," Rationality and Competition Discussion Paper Series 72, CRC TRR 190 Rationality and Competition.
  2. Mohamed Abdelghani & Alexander Melnikov, 2025. "Modeling Financial Bubbles with Optional Semimartingales in Nonstandard Probability Spaces," Risks, MDPI, vol. 13(3), pages 1-29, March.
  3. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  4. Pietro Siorpaes, 2015. "Optimal investment and price dependence in a semi-static market," Finance and Stochastics, Springer, vol. 19(1), pages 161-187, January.
  5. Alessandro Fiori Maccioni, 2011. "Endogenous Bubbles in Derivatives Markets: The Risk Neutral Valuation Paradox," Papers 1106.5274, arXiv.org, revised Sep 2011.
  6. Robert A. Jarrow, 2021. "Asset Price Bubbles," Springer Finance, in: Continuous-Time Asset Pricing Theory, edition 2, chapter 0, pages 75-90, Springer.
  7. Xixuan Han & Boyu Wei & Hailiang Yang, 2018. "Index Options And Volatility Derivatives In A Gaussian Random Field Risk-Neutral Density Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(04), pages 1-41, June.
  8. Pietro Siorpaes, 2013. "Optimal investment and price dependence in a semi-static market," Papers 1303.0237, arXiv.org, revised Oct 2013.
  9. Anja Richter & Josef Teichmann, 2014. "Discrete Time Term Structure Theory and Consistent Recalibration Models," Papers 1409.1830, arXiv.org.
  10. Sergey Nadtochiy & Jan Obloj, 2016. "Robust Trading of Implied Skew," Papers 1611.05518, arXiv.org.
  11. Stefan Gerhold, 2012. "Can there be an explicit formula for implied volatility?," Papers 1211.4978, arXiv.org.
  12. S. Kindermann & P. Mayer, 2011. "On the calibration of local jump-diffusion asset price models," Finance and Stochastics, Springer, vol. 15(4), pages 685-724, December.
  13. Jean Jacod & Philip Protter, 2010. "Risk-neutral compatibility with option prices," Finance and Stochastics, Springer, vol. 14(2), pages 285-315, April.
  14. 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.
  15. Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
  16. Rene Carmona & Yi Ma & Sergey Nadtochiy, 2015. "Simulation of Implied Volatility Surfaces via Tangent Levy Models," Papers 1504.00334, arXiv.org.
  17. René Carmona & Sergey Nadtochiy, 2012. "Tangent Lévy market models," Finance and Stochastics, Springer, vol. 16(1), pages 63-104, January.
  18. Robert A. Jarrow & Simon S. Kwok, 2023. "An explosion time characterization of asset price bubbles," International Review of Finance, International Review of Finance Ltd., vol. 23(2), pages 469-479, June.
  19. Hansjörg Albrecher & Philipp Mayer, 2010. "Semi-Static Hedging Strategies For Exotic Options," World Scientific Book Chapters, in: Rüdiger Kiesel & Matthias Scherer & Rudi Zagst (ed.), Alternative Investments And Strategies, chapter 14, pages 345-373, World Scientific Publishing Co. Pte. Ltd..
  20. René Carmona & Sergey Nadtochiy, 2009. "Local volatility dynamic models," Finance and Stochastics, Springer, vol. 13(1), pages 1-48, January.
  21. A. Fiori Maccioni, 2011. "The risk neutral valuation paradox," Working Paper CRENoS 201112, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
  22. Sergey Nadtochiy & Jan Obłój, 2017. "Robust Trading Of Implied Skew," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(02), pages 1-41, March.
  23. Carol Alexander & Leonardo Nogueira, 2004. "Stochastic Local Volatility," ICMA Centre Discussion Papers in Finance icma-dp2008-02, Henley Business School, University of Reading, revised Mar 2008.
  24. Samuel N. Cohen & Christoph Reisinger & Sheng Wang, 2021. "Arbitrage-free neural-SDE market models," Papers 2105.11053, arXiv.org, revised Aug 2021.
  25. Jan Kallsen & Paul Krühner, 2015. "On a Heath–Jarrow–Morton approach for stock options," Finance and Stochastics, Springer, vol. 19(3), pages 583-615, July.
  26. Sebastian Herrmann & Johannes Muhle-Karbe, 2017. "Model uncertainty, recalibration, and the emergence of delta–vega hedging," Finance and Stochastics, Springer, vol. 21(4), pages 873-930, October.
  27. Matteo Gambara & Josef Teichmann, 2020. "Consistent Recalibration Models and Deep Calibration," Papers 2006.09455, arXiv.org, revised Jul 2021.
  28. Robert Jarrow, 2016. "Bubbles And Multiple-Factor Asset Pricing Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-19, February.
  29. Mehdi El Amrani & Antoine Jacquier & Claude Martini, 2019. "Dynamics of symmetric SSVI smiles and implied volatility bubbles," Papers 1909.10272, arXiv.org, revised Feb 2021.
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