On martingale diffusions describing the "smile-effect" for implied volatilities


Bartels, Hans-Jochen


DOI: https://doi.org/10.1002/(SICI)1526-4025(200001/03)16:1
URL: http://dx.doi.org/10.1002/(SICI)1526-4025(200001/0...
Additional URL: https://www.researchgate.net/publication/246864388
Document Type: Article
Year of publication: 2000
The title of a journal, publication series: Applied Stochastic Models in Business and Industry
Volume: 16
Issue number: 1
Page range: 1-9
Place of publication: Chichester
Publishing house: Wiley
ISSN: 1524-1904
Publication language: English
Institution: School of Business Informatics and Mathematics > Versicherungsmathematik (Bartels)
Subject: 510 Mathematics

Dieser Eintrag ist Teil der Universitätsbibliographie.




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Bartels, Hans-Jochen (2000) On martingale diffusions describing the "smile-effect" for implied volatilities. Applied Stochastic Models in Business and Industry Chichester 16 1 1-9 [Article]


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