Claude Martini

affiliation not provided to SSRN

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Scholarly Papers (1)

1.

Dynamics of Symmetric SSVI Smiles and Implied Volatility Bubbles

Number of pages: 14 Posted: 02 Oct 2019 Last Revised: 02 Feb 2021
affiliation not provided to SSRN, Imperial College London and affiliation not provided to SSRN
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Abstract:

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implied volatility, absence of arbitrage, SSVI, bubbles