This paper discusses di!usion models describing the &smile-e!ect' of implied volatilities for option prices partly following the new approach of Bruno Dupire. If one restricts to the time homogeneous case, a careful study of this approach shows that the call option prices considered as a function of
On conformal martingale diffusions and pluripolar sets
β Scribed by M Fukushima; M Okada
- Publisher
- Elsevier Science
- Year
- 1984
- Tongue
- English
- Weight
- 564 KB
- Volume
- 55
- Category
- Article
- ISSN
- 0022-1236
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