Arbitrage-Free interpolation if Implied Volatility Surface

We propose an efficient way to interpolate implied volatilities in between market expirations while keeping local volatilities virtually constant in time for any strike relative to forward. The method never creates an arbitrage. If the input volatilities are not arbitrage-free, the method eliminates arbitrage with minimum overrides

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Year of publication:	2022
Authors:	Pelts, Gregory
Publisher:	[S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Optionspreistheorie \| Option pricing theory \| Black-Scholes-Modell \| Black-Scholes model \| Zinsstruktur \| Yield curve \| Arbitrage Pricing \| Arbitrage pricing

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 27, 2016 erstellt
Other identifiers:	10.2139/ssrn.4285070 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014238072