No-dynamic-arbitrage and market impact

Quantitative Finance

Volumn 10, Issue 7, 2010, Pages 749-759

  Gatheral, Jim ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Options pricing; Options volatility; Stochastic jumps; Stochastic volatility; Volatility modelling; Volatility smile fitting; Volatility surfaces

Indexed keywords

EID: 77955616589     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697680903373692     Document Type: Article

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