3 papers
q-fin.MF2016
Consistency of option prices under bid-ask spreads
Stefan Gerhold, I. Cetin Gülüm
Given a finite set of European call option prices on a single underlying, we want to know when there is a market model which is consistent with these prices. In contrast to previou…
math.PR2015
Peacocks nearby: approximating sequences of measures
Stefan Gerhold, I. Cetin Gülüm
A peacock is a family of probability measures with finite mean that increases in convex order. It is a classical result, in the discrete time case due to Strassen, that any peacock…
q-fin.PR2013
Small-maturity asymptotics for the at-the-money implied volatility slope in Lévy models
Stefan Gerhold, I. Cetin Gülüm, Arpad Pinter
We consider the at-the-money strike derivative of implied volatility as the maturity tends to zero. Our main results quantify the behavior of the slope for infinite activity expone…