Computation of Deterministic Volatility Surfaces

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...

書誌詳細
主要な著者:	Jackson, N, Suli, E, Howison, S
フォーマット:	Report
出版事項:	Unspecified 1998

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