From arbitrage to arbitrage-free implied volatilities
Year of publication: |
February 2017
|
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Authors: | Grzelak, Lech A. ; Oosterlee, Cornelis Willebrordus |
Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 20.2016/2017, 3, p. 31-49
|
Subject: | arbitrage-free density | collocation method | orthogonal projection | arbitrage-free volatility | SCMC sampler | implied volatility parameterization | Volatilität | Volatility | Arbitrage Pricing | Arbitrage pricing | Optionspreistheorie | Option pricing theory | Arbitrage | Statistische Verteilung | Statistical distribution |
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