Arbitrage-free smoothing of the implied volatility surface (Q3404099): Difference between revisions
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Revision as of 03:22, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Arbitrage-free smoothing of the implied volatility surface |
scientific article |
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Arbitrage-free smoothing of the implied volatility surface (English)
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5 February 2010
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implied volatility surface
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local volatility
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cubic spline smoothing
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no-arbitrage constraints
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