An Hilbert space approach for a class of arbitrage free implied volatilities models
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- 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.
- Robert A. Jarrow & Arkadev Chatterjea, 2019. "Interest Rates," World Scientific Book Chapters, in: An Introduction to Derivative Securities, Financial Markets, and Risk Management, chapter 2, pages 22-52, World Scientific Publishing Co. Pte. Ltd..
- Rama Cont, 2005. "Modeling Term Structure Dynamics: An Infinite Dimensional Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 357-380.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Michael Roper & Marek Rutkowski, 2009. "On The Relationship Between The Call Price Surface And The Implied Volatility Surface Close To Expiry," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(04), pages 427-441.
- 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.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Tomas Björk & Magnus Blix & Camilla Landén, 2006.
"On Finite Dimensional Realizations For The Term Structure Of Futures Prices,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 281-314.
- Björk, Tomas & Blix, Magnus & Landen, Camilla, 2005. "On finite dimensional realizations for the term structure of futures prices," SSE/EFI Working Paper Series in Economics and Finance 620, Stockholm School of Economics.
- Stefano De Marco, 2020. "On the harmonic mean representation of the implied volatility," Papers 2007.03585, arXiv.org.
- Jos'e E. Figueroa-L'opez & Yankeng Luo & Cheng Ouyang, 2011. "Small-time expansions for local jump-diffusion models with infinite jump activity," Papers 1108.3386, arXiv.org, revised Jul 2014.
- Dan Pirjol & Lingjiong Zhu, 2024. "Short-maturity asymptotics for option prices with interest rates effects," Papers 2402.14161, arXiv.org.
- R. Bhar & C. Chiarella, 1997.
"Transformation of Heath?Jarrow?Morton models to Markovian systems,"
The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 1-26, March.
- Ram Bhar & Carl Chiarella, 1995. "Transformation of Heath-Jarrow-Morton Models to Markovian Systems," Working Paper Series 53, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance.
- Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2023.
"Local volatility under rough volatility,"
Mathematical Finance, Wiley Blackwell, vol. 33(4), pages 1119-1145, October.
- Florian Bourgey & Stefano De Marco & Peter K. Friz & Paolo Pigato, 2022. "Local volatility under rough volatility," Papers 2204.02376, arXiv.org, revised Nov 2022.
- Carl Chiarella & Christina Sklibosios, 2003.
"A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework,"
Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 10(2), pages 87-127, September.
- Carl Chiarella & Christina Nikitopoulos-Sklibosios, 2004. "A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework," Research Paper Series 132, Quantitative Finance Research Centre, University of Technology, Sydney.
- Gupta, Anurag & Subrahmanyam, Marti G., 2000.
"An empirical examination of the convexity bias in the pricing of interest rate swaps,"
Journal of Financial Economics, Elsevier, vol. 55(2), pages 239-279, February.
- Marti G. Subrahmanyam & Anurag Gupta, 1998. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-068, New York University, Leonard N. Stern School of Business-.
- Anurag Gupta & Marti G. Subrahmanyam, 1999. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-001, New York University, Leonard N. Stern School of Business-.
- Richard Deaves & Mahmut Parlar, 2000. "A generalized bootstrap method to determine the yield curve," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 257-270.
- Rama Cont & Marvin S. Mueller, 2019. "A stochastic partial differential equation model for limit order book dynamics," Papers 1904.03058, arXiv.org, revised May 2021.
- Zhongliang Tuo, 2013. "Hedging Against the Interest-rate Risk by Measuring the Yield-curve Movement," Papers 1312.6841, arXiv.org.
- Peter Friz & Stefan Gerhold & Arpad Pinter, 2016. "Option Pricing in the Moderate Deviations Regime," Papers 1604.01281, arXiv.org.
- Martin Forde & Antoine Jacquier, 2011. "The large-maturity smile for the Heston model," Finance and Stochastics, Springer, vol. 15(4), pages 755-780, December.
- Cyril Grunspan & Joris van der Hoeven, 2017. "Effective asymptotic analysis for finance," Working Papers hal-01573621, HAL.
- Beyna, Ingo & Wystup, Uwe, 2010. "On the calibration of the Cheyette interest rate model," CPQF Working Paper Series 25, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
- Carlo Mari & Roberto Reno, 2006. "Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(2), pages 143-153.
- Robert R. Bliss & Peter H. Ritchken, 1995. "Empirical tests of two state-variable HJM models," FRB Atlanta Working Paper 95-13, Federal Reserve Bank of Atlanta.
- Chargoy-Corona, Jesús & Ibarra-Valdez, Carlos, 2006. "A note on Black–Scholes implied volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 370(2), pages 681-688.
- Dan Pirjol & Lingjiong Zhu, 2016. "Short Maturity Asian Options in Local Volatility Models," Papers 1609.07559, arXiv.org.
More about this item
Keywords
Implied volatility; Option pricing; Stochastic SPDE; Hilbert space;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:6321. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.