Computation of Deterministic Volatility Surfaces
The 'volatility smile' is one of the well-known biases of Black-Scholes models for pricing options. In this paper, we introduce a robust method of reducing this bias by pricing subject to a deterministic functional volatility $\sigma = \sigma (S,t)$. This instantaneous volatility is chosen...
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| Formato: | Report |
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Unspecified
1998
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