Implied volatility in strict local martingale models

Research output: Contribution to journal › Research article › Contributed › peer-review

Contributors

  • Antoine Jacquier - (Author)
  • Martin Keller-Ressel - (Author)

Details

Original languageEnglish
JournalSIAM Journal on Financial Mathematics
Publication statusPublished - 2018
Peer-reviewedYes

External IDs

Scopus 85049677353

Keywords

Keywords

  • financial mathematics, stochastic processes, implied volatility, price bubbles