Parametric arbitrage-free models for implied smile dynamics
Based on the theory of Tangent Levy model [1] developed by R. Carmona and S. Nadtochiy, this thesis gives a paramatrized realization of dynamic implied smile. After specifying a Dirac style Levy measure, we give argument about the consistency issue of our model with the Tangent Levy Model. A corres...
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| Format: | Thesis |
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Mathematical Institute;Oxford University
2010
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