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Search: subject:"Arbitrage-free interpolation and extrapolation"
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Arbitrage-free interpolation and extrapolation
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Static parametrization
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Volatility surface
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Option pricing theory
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Optionspreistheorie
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Itkin, Andrey
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The North American Journal of Economics and Finance
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The North American journal of economics and finance : a journal of financial economics studies
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To sigmoid-based functional description of the volatility smile
Itkin, Andrey
- In:
The North American Journal of Economics and Finance
31
(
2015
)
C
,
pp. 264-291
also demonstrate how to construct an
arbitrage-free
interpolation
and
extrapolation
in time, as well as build a local …
Persistent link: https://www.econbiz.de/10011191066
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2
To sigmoid-based functional description of the volatility smile
Itkin, Andrey
- In:
The North American journal of economics and finance : a …
31
(
2015
),
pp. 264-291
Persistent link: https://www.econbiz.de/10011514245
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