Madan, Dilip B.; Schoutens, Wim - In: Journal of risk and financial management : JRFM 12 (2019) 2/69, pp. 1-21
It is argued that the growth in the breadth of option strikes traded after the financial crisis of 2008 poses difficulties for the use of Fourier inversion methodologies in volatility surface calibration. Continuous time Markov chain approximations are proposed as an alternative. They are shown...