2 papers
q-fin.PR2011
Arbitrage hedging strategy and one more explanation of the volatility smile
Mikhail Martynov, Olga Rozanova
We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Sch…
q-fin.PR2010
A certain estimate of volatility through return for stochastic volatility models
Mikhail Martynov, Olga Rozanova
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model. To be more specific, we consider the conditional…