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

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Author
Bachem, Olivier
Drimus, Gabriel
Farkas, Walter
Date
2013
Type
    Journal Article
Publication status
published
External links
Journal / series
Quantitative Finance
Volume
13(11)
Pages / Article No.
1801 - 1812
Publisher
Taylor & Francis
Subject
Implied volatility surface; Risk-neutral density; Discrete dividends
Notes
Received 7 November 2012, Accepted 3 September 2013, Published online 1 November 2013.
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