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Arbitrage-free SVI volatility surfaces
Arbitrage-free SVI volatility surfaces Pricing of Securities
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2012/4/28
In this article, we show how to calibrate the widely-used SVI parameterization of the implied volatility surface in such a way as to guarantee the absence of static arbitrage. In particular, we exhibi...
Arbitrage hedging strategy and one more explanation of the volatility smile
step-like contrast structure semi-linear parabolic equation arbitrage option hedging strategy volatility smile
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2011/3/23
We present an explicit hedging strategy, which enables to prove arbitrageness of market incorporating at least two assets depending on the same random factor. The implied Black-Scholes volatility, com...