78 citations · 171 across the 33 of their papers we have counts for
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q-fin.MF2015
Implied volatility in strict local martingale models
Antoine Jacquier, Martin Keller-Ressel
We consider implied volatilities in asset pricing models, where the discounted underlying is a strict local martingale under the pricing measure. Our main result gives an asymptoti…
math.PR2015★ 9 cited
A Stefan-type stochastic moving boundary problem
Martin Keller-Ressel, Marvin S. Mueller
Motivated by applications in economics and finance, in particular to the modeling of limit order books, we study a class of stochastic second-order PDEs with non-linear Stefan-type…