40 citations · 123 across the 17 of their papers we have counts for
Showing 2010Show all
2 papers · 1 filter
q-fin.CP2010★ 2 cited
Is the minimum value of an option on variance generated by local volatility?
Mathias Beiglboeck, Peter Friz, Stephan Sturm
We discuss the possibility of obtaining model-free bounds on volatility derivatives, given present market data in the form of a calibrated local volatility model. A counter-example…
q-fin.PR2010
On refined volatility smile expansion in the Heston model
P. Friz, S. Gerhold, A. Gulisashvili +1
It is known that Heston's stochastic volatility model exhibits moment explosion, and that the critical moment can be obtained by solving (numerically) a simple equation. This…