Local variance gamma and explicit calibration to option prices (Q2968277)
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scientific article; zbMATH DE number 6693946
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| English | Local variance gamma and explicit calibration to option prices |
scientific article; zbMATH DE number 6693946 |
Statements
LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES (English)
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13 March 2017
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exact calibration
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implied smile
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local variance gamma
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0.7945765256881714
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0.7827140688896179
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0.7788064479827881
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0.7754137516021729
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0.7753134965896606
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