Calibrating volatility surfaces via relative-entropy minimization
| Year of publication: |
1997
|
|---|---|
| Authors: | Avallaneda, Marco ; Friedman, Craig ; Holmes, Richard ; Samperi, Dominic |
| Published in: |
Applied mathematical finance. - London : Routledge, ISSN 1350-486X, ZDB-ID 12824094. - Vol. 4.1997, 1, p. 37-64
|