Brace, Alan; Fabbri, Giorgio; Goldys, Benjamin - Volkswirtschaftliche Fakultät, … - 2007
We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in … implied volatility surface ${\hat\sigma}_t(T,K)$. We will focus on the family obtained fixing a strike $K$ and varying $T$. In … terms of the square root of the forward implied volatility and rewritten in an Hilbert space setting. The existence and the …