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29

FS
2010

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Central limit theorem for the realized volatility based on tick time sampling

13 years 9 months ago

Central limit theorem for the realized volatility based on tick time sampling

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Masaaki Fukasawa

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29

FS
2006

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A jump to default extended CEV model: an application of Bessel processes

13 years 10 months ago

A jump to default extended CEV model: an application of Bessel processes

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We develop a

Peter Carr, Vadim Linetsky

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34

FS
2006

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A counter-example to an option pricing formula under transaction costs

13 years 10 months ago

A counter-example to an option pricing formula under transaction costs

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In the paper by Melnikov and Petrachenko `On option pricing in binomial market with transaction costs,' Finance Stoch. 9 (2005), 141

Alet Roux, Tomasz Zastawniak

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21

FS
2006

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Comparison of Option Prices in Semimartingale Models

13 years 10 months ago

Comparison of Option Prices in Semimartingale Models

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In this paper we generalize recent comparison results of El Karoui, Jeanblanc-Picqu

Jan Bergenthum, Ludger Rüschendorf

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35

FS
2010

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Can the implied volatility surface move by parallel shifts?

13 years 9 months ago

Can the implied volatility surface move by parallel shifts?

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This note explores the analogy between the dynamics of the interest rate term structure and the implied volatility surface of a stock. In particular, we prove an impossibility theo...

L. C. G. Rogers, Michael Tehranchi

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