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Search: subject:"Arbitrage free interpolation"
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Volatility surface
3
Arbitrage-free interpolation and extrapolation
2
Option pricing theory
2
Optionspreistheorie
2
Static parametrization
2
Volatility
2
Volatilität
2
Arbitrage
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Arbitrage Pricing
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Arbitrage free interpolation
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Arbitrage pricing
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Calibration
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Robust statistics
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Robustes Verfahren
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SVI
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Itkin, Andrey
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Cohort, Pierre
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Corbetta, Jacopo
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Laachir, Ismail
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Martini, Claude
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Decisions in economics and finance : DEF ; a journal of applied mathematics
1
The North American Journal of Economics and Finance
1
The North American journal of economics and finance : a journal of financial economics studies
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ECONIS (ZBW)
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Robust calibration and
arbitrage-free
interpolation
of SSVI slices
Corbetta, Jacopo
;
Cohort, Pierre
;
Laachir, Ismail
; …
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 665-677
Persistent link: https://www.econbiz.de/10012127308
Saved in:
2
To sigmoid-based functional description of the volatility smile
Itkin, Andrey
- In:
The North American journal of economics and finance : a …
31
(
2015
),
pp. 264-291
Persistent link: https://www.econbiz.de/10011514245
Saved in:
3
To sigmoid-based functional description of the volatility smile
Itkin, Andrey
- In:
The North American Journal of Economics and Finance
31
(
2015
)
C
,
pp. 264-291
also demonstrate how to construct an
arbitrage-free
interpolation
and extrapolation in time, as well as build a local …
Persistent link: https://www.econbiz.de/10011191066
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