Building Arbitrage-Free Implied Volatility Surface
The paper explores the creation of arbitrage-free implied volatility surfaces based on relative entropy minimization, addressing numerical issues and their solutions, and their importance for arbitrage-free models.
Featured in No. 50 on 22 May 2024 · 5 days after release
- Released
- 17 May 2024
- First featured
- No. 50 · 22 May 2024
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 16
- Identifier
- SSRN 4832095
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