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...
| Главные авторы: | , , |
|---|---|
| Формат: | Report |
| Опубликовано: |
Unspecified
1998
|