most citedAn Hilbert space approach for a class of arbitrage free implied volatilities models

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q-fin.CP2007★ 2 cited

An Hilbert space approach for a class of arbitrage free implied volatilities models

A. Brace, G. Fabbri, B. Goldys

We present an Hilbert space formulation for a set of implied volatility models introduced in \cite{BraceGoldys01} in which the authors studied conditions for a family of European c…