Robust Numerical Calibration for Implied Volatility Expansion Models
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Publication:2953945
DOI10.1137/15M1035215zbMath1406.91431MaRDI QIDQ2953945
Panos Parpas, Radu Baltean-Lugojan
Publication date: 11 January 2017
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Numerical methods (including Monte Carlo methods) (91G60) Nonlinear programming (90C30) Asymptotic approximations, asymptotic expansions (steepest descent, etc.) (41A60) Derivative securities (option pricing, hedging, etc.) (91G20)
Uses Software
Cites Work
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- What good is a volatility model?
- EXPLICIT IMPLIED VOLATILITIES FOR MULTIFACTOR LOCAL‐STOCHASTIC VOLATILITY MODELS