Calibrating volatility surfaces via relative-entropy minimization
Year of publication: |
1997
|
---|---|
Authors: | Avellaneda, Marco ; Friedman, Craig ; Holmes, Richard ; Samperi, Dominick |
Published in: |
Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 4.1997, 1, p. 37-64
|
Publisher: |
Taylor & Francis Journals |
Subject: | Option Pricing | Implied Volatility Surface | Calibration | Relative Entropy | Stochastic | Control | Volatility | Smile | Skew |
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