To sigmoid-based functional description of the volatility smile
Year of publication: |
January 2015
|
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Authors: | Itkin, Andrey |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 31.2015, p. 264-291
|
Subject: | Volatility surface | Static parametrization | Arbitrage-free interpolation and extrapolation | Volatilität | Volatility | Optionspreistheorie | Option pricing theory |
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