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Persistent link: https://www.econbiz.de/10011905829
In this article we propose a generalisation of the recent work of Gatheral and Jacquier on explicit arbitrage-free parameterisations of implied volatility surfaces. We also discuss extensively the notion of arbitrage freeness and Roger Lee's moment formula using the recent analysis by Roper. We...
Persistent link: https://www.econbiz.de/10010699023