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How good is Black-Scholes-Merton, really?

Wilmott, Paul - In: Options - 45 years since the publication of the …, (pp. 17-27). 2023

Persistent link: https://www.econbiz.de/10014366584

Uncertain parameters, an empirical stochastic volatility model and confidence limits

Wilmott, Paul - In: International journal of theoretical and applied finance 1 (1998) 1, pp. 175-189

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Value-at-risk and market crashes

Hua, Philip; Wilmott, Paul - 1999

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A nonlinear non-probabilistic spot interest rate model

Epstein, David; Wilmott, Paul - 1999

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Uncertain parameters, an empirical stochastic volatility model and confidence limits

Oztukel, Asli; Wilmott, Paul - 1999

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Keep on Smiling : Market Imbalance, Option Pricing, and the Volatility Smile

Orrell, David - 2022

The Black-Scholes model, which is widely used to price financial options, assumes that volatility is constant as a function of strike price. However when market option prices are used to infer the volatility that is implied by those prices, it often exhibits a marked dependence on strike price...

Persistent link: https://www.econbiz.de/10013491623

Asymptotic analysis of stochastic volatility models

Rasmussen, Henrik; Wilmott, Paul - In: New directions in mathematical finance, (pp. 19-31). 2002

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