Fengler, Matthias R. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005
the implied volatility surface: an input implied volatility surface that is not arbitrage-free invariably results in … algorithms of the implied volatility surface cannot guarantee the absence arbitrage. Here, we propose an approach for smoothing … the implied volatility smile in an arbitrage-free way. Our methodology is simple to implement, computationally cheap and …