Iacopo Raffaelli

Scuola Normale Superiore

Piazza dei Cavalieri, 7

Pisa, 56126

Italy

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Scholarly Papers (1)

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Revisiting the Implied Remaining Variance framework of Carr and Sun (2014): Locally consistent dynamics and sandwiched martingales

Number of pages: 28 Posted: 14 May 2021
Claude Martini and Iacopo Raffaelli
Zeliade Systems and Scuola Normale Superiore
Downloads 16 (649,583)

Abstract:

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Implied volatility, Absence of arbitrage, Bubble, SDE