Term structures of implied volatilities
Absence of arbitrage and existence results
dc.contributor.author
Schweizer, Martin
dc.contributor.author
Wissel, Johannes
dc.date.accessioned
2017-06-08T19:57:47Z
dc.date.available
2017-06-08T19:57:47Z
dc.date.issued
2008
dc.identifier.issn
0960-1627
dc.identifier.issn
1467-9965
dc.identifier.other
10.1111/j.1467-9965.2007.00323.x
dc.identifier.uri
http://hdl.handle.net/20.500.11850/10606
dc.language.iso
en
dc.publisher
Wiley-Blackwell
dc.subject
implied volatility
dc.subject
market model
dc.subject
drift restrictions
dc.subject
infinite SDE system
dc.title
Term structures of implied volatilities
dc.type
Journal Article
ethz.title.subtitle
Absence of arbitrage and existence results
ethz.journal.title
Mathematical Finance
ethz.journal.volume
18
ethz.journal.issue
1
ethz.journal.abbreviated
Math. finance
ethz.pages.start
77
ethz.pages.end
114
ethz.notes
Manuscript received December 2005, Final revision received September 2006, Published Online Dec 13 2007.
ethz.identifier.wos
ethz.publication.place
Boston, MA
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.date.deposited
2017-06-08T19:57:54Z
ethz.source
ECIT
ethz.identifier.importid
imp59364bf3acbd237734
ethz.ecitpid
pub:21648
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-25T10:46:06Z
ethz.rosetta.lastUpdated
2024-02-01T14:58:19Z
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true
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Journal Article [130793]