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20062023
most citedA theoretical framework for the pricing of contingent claims in the presence of model uncertainty

360 citations · 393 across the 10 of their papers we have counts for

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Showing 2019Show all

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q-fin.PR2019

Dynamics of symmetric SSVI smiles and implied volatility bubbles

Mehdi El Amrani, Antoine Jacquier, Claude Martini

We develop a dynamic version of the SSVI parameterisation for the total implied variance, ensuring that European vanilla option prices are martingales, hence preventing the occurre…