"Explicit Constructions of Martingales Calibrated to Given Implied ..."

Peter Carr, Laurent Cousot (2012)

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DOI: 10.1137/100809933

access: closed

type: Journal Article

metadata version: 2017-05-17

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Peter Carr, Laurent Cousot:
Explicit Constructions of Martingales Calibrated to Given Implied Volatility Smiles. SIAM J. Financial Math. 3(1): 182-214 (2012)

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