Arbitrage-free smoothing of the implied volatility surface
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Publication:3404099
DOI10.1080/14697680802595585zbMath1182.91172OpenAlexW2119074269MaRDI QIDQ3404099
Publication date: 5 February 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: http://www.ssoar.info/ssoar/handle/document/22137
Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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