Smooth and bid-offer compliant volatility surfaces under general dividend streams

DOI10.1080/14697688.2013.842652zbMath1288.91184OpenAlexW3123572430MaRDI QIDQ2871432

Olivier Bachem, Walter Farkas, Gabriel G. Drimus

Publication date: 23 January 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2013.842652

zbMATH Keywords

risk-neutral densityimplied volatility surfacediscrete dividends

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Unnamed Item
• Arbitrage-free approximation of call price surfaces and input data risk
• Arbitrage-free smoothing of the implied volatility surface
• Efficient Pricing of Derivatives on Assets with Discrete Dividends
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• AFFINE MODELS WITH STOCHASTIC MARKET PRICE OF RISK
• Convergence of Heston to SVI
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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