AV Akademikerverlag
Fitting the implied volatility surface
Product Code:
9783639720501
ISBN13:
9783639720501
Condition:
New
$41.23
Fitting the implied volatility surface
$41.23
In the context of exotic derivatives, arbitrage-free implied volatility surfaces are a crucial ingredient to sophisticated pricing routines. We use a non-linear optimization technique to fit an arbitrage-free implied volatility surface efficiently to market data. The fitting procedure is tailor-made for any analytic parametrization of the single volatility skews. We carry out this approach for a certain parametrization by implementing an Interior-Point method, discuss its shortcomings, potentials, as well as specific smoothing techniques. Besides all the theory, we give various fitting details and examples by using real market data.
| Author: Immanuel Dobler |
| Publisher: AV Akademikerverlag |
| Publication Date: Sep 29, 2014 |
| Number of Pages: 136 pages |
| Binding: Paperback or Softback |
| ISBN-10: 3639720504 |
| ISBN-13: 9783639720501 |
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