59 citations · 92 across the 11 of their papers we have counts for
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q-fin.MF2015★ 24 cited
Uniform bounds for Black--Scholes implied volatility
Michael R. Tehranchi
In this note, Black--Scholes implied volatility is expressed in terms of various optimisation problems. From these representations, upper and lower bounds are derived which hold un…
q-fin.MF2015
Polynomial term structure models
Si Cheng, Michael R. Tehranchi
In this article, we explore a class of tractable interest rate models that have the property that the price of a zero-coupon bond can be expressed as a polynomial of a state diffus…