Fengler, Matthias R. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in … the implied volatility smile in an arbitrage-free way. Our methodology is simple to implement, computationally cheap and … approach also works when input data are scarce and not arbitrage-free. Thus, it can easily be integrated into standard local …