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Volatility smile consistent op...
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1
Entwurf eines Optionspreismodells mit stochastischer Volatilität und tendenziell stabiler IVF-Struktur
Hausmann, Wilfried
-
2007
Persistent link: https://www.econbiz.de/10003635776
Saved in:
2
Arbitrage-free market models for liquid options
Wissel, Johannes Stefan
-
2008
Persistent link: https://www.econbiz.de/10003726013
Saved in:
3
Arbitrage-free market models for option prices : the multi-strike case
Schweizer, Martin
;
Wissel, Johannes
- In:
Finance and stochastics
12
(
2008
)
4
,
pp. 469-505
Persistent link: https://www.econbiz.de/10003899262
Saved in:
4
Market expectations and option prices : techniques and applications ; with 13 tables
Mandler, Martin
-
2003
Persistent link: https://www.econbiz.de/10001746869
Saved in:
5
A risk-neutral stochastic
volatility
model
Zhu, Yingzi
- In:
International journal of theoretical and applied finance
1
(
1998
)
2
,
pp. 289-310
Persistent link: https://www.econbiz.de/10001240151
Saved in:
6
The extended SSVI
volatility
surface
Hendriks, Sebas
;
Martini, Claude
- In:
The journal of computational finance
22
(
2018/2019
)
5
,
pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
Saved in:
7
Calibrating arbitrage free implied
volatility
surface with embedded put-call parity
Dutta, Tridibesh
;
Ghosh, Alankar
- In:
Decision
37
(
2010
)
1
,
pp. 57-72
Persistent link: https://www.econbiz.de/10008657235
Saved in:
8
Semi-nonparametric estimation of the call price surface under no-arbitrage constraints
Fengler, Matthias R.
;
Hin, Lin-yee
-
2011
Persistent link: https://www.econbiz.de/10009509335
Saved in:
9
Asymptotic arbitrage in the Heston model
Haba, Fatma
;
Jacquier, Antoine
- In:
International journal of theoretical and applied finance
18
(
2015
)
8
,
pp. 1-18
Persistent link: https://www.econbiz.de/10011419412
Saved in:
10
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Fengler, Matthias R.
;
Hin, Lin-Yee
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 242-261
Persistent link: https://www.econbiz.de/10011339347
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