haku: @indexterm financial models / yhteensä: 494
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| Tekijä: | Kahalé, N. |
| Otsikko: | An arbitrage-free interpolation of volatilities |
| Lehti: | Risk
2004 : MAY, VOL. 17:5, p. 102-106 |
| Asiasana: | derivative securities financial models pricing stock options |
| Kieli: | eng |
| Tiivistelmä: | This article discusses the pricing of exotic options in a way consistent with the smile. The writer proposes a method which provides an excellent fit to the smile of the local volatilities model, a standard extension of the Black & Scholes model. |
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