Martingale defects in the volatility surface and bubble conditions in the underlying
Philip Stahl, Jérôme Blauth
| Year of publication: |
2024
|
|---|---|
| Authors: | Stahl, Philip ; Blauth, Jérôme |
| Subject: | Martingale defect | SABR model | Stock price bubbles | Strict local martingales | Volatilität | Volatility | Spekulationsblase | Bubbles | Martingal | Martingale | Börsenkurs | Share price | Optionspreistheorie | Option pricing theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11147-023-09200-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015133910