Smooth and bid-offer compliant volatility surfaces under general dividend streams
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Author / Producer
Date
2013
Publication Type
Journal Article
ETH Bibliography
yes
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Altmetric
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Rights / License
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Publication status
published
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Book title
Journal / series
Volume
13 (11)
Pages / Article No.
1801 - 1812
Publisher
Taylor & Francis
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Edition / version
Methods
Software
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Date collected
Date created
Subject
Implied volatility surface; Risk-neutral density; Discrete dividends
Organisational unit
Notes
Received 7 November 2012, Accepted 3 September 2013, Published online 1 November 2013.