Modelling the dynamics of implied volatility smiles and surfaces
"Smile-consistent" no-arbitrage stochastic volatility models take today's option prices as given, and they let them to evolve stochastically in such a way as to preclude arbitrage. This allows standard options to be priced correctly, and enables exotic options to be valued and hedged...
| Main Author: | |
|---|---|
| Published: |
University of Warwick
1999
|
| Subjects: | |
| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.323082 |