Borak, Szymon; Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005
option prices. But some of its assumptions, like constant volatility or log-normal distribution of asset prices,do not find … this time burden can become a severe problem when computation of many option prices is required, e.g. in calibration of the … implied volatility surface. To overcome this problem Carr and Madan (1999) developed a fast method to compute option prices …