From Stochastic Orders to Volatility Surfaces: Revisiting the One-X Property
The One-X property, introduced by Zetocha in a 2023 paper, provides a novel stochastic order with direct implications for constructing arbitrage-free implied volatility surfaces. The current work revisits its theoretical foundations and explores its connections with classical stochastic orders, ther...
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| Hoofdauteurs: | , , |
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| Formaat: | Artigo |
| Taal: | Inglês |
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MDPI AG
2025-12-01
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| Reeks: | Risks |
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| Online toegang: | https://www.mdpi.com/2227-9091/13/12/252 |
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