Browsing Discussion papers of interdisciplinary research project 373 / Sonderforschungsbereich 373 by Subject "implied volatility surface"

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2003-08-06Buch

Fitting the Smile Revisited

Fengler, Matthias R.; Wang, Qihua

Nonparametric methods for estimating the implied volatility surface or the implied volatility smile are very popular, since they do not impose a specific functional form on the estimate. Traditionally, these methods are ...