LIBROS DEL AUTOR: immanuel dobler

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  • Fitting the implied volatility surface
    Immanuel Dobler
    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 t...
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