On martingale diffusions describing the `smile-effect' for implied volatilities

Applied Stochastic Models in Business and Industry

Volumn 16, Issue 1, 2000, Pages 1-9

  Bartels, Hans Jochen ^a  

^a UNIVERSITY OF MANNHEIM   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

MATHEMATICAL MODELS; RANDOM PROCESSES;

MARTINGALE DIFFUSIONS; SMILE EFFECT;

FEES AND CHARGES;

EID: 0033633849     PISSN: 15241904     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1526-4025(200001/03)16:1<1::AID-ASMB382>3.0.CO;2-E     Document Type: Article

References (9)

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