Fitting the implied volatility surface is generally a complicated affair. Here, Claudio Pacati, Roberto Reno` and Manola Santilli propose a simple extension of the Heston model that allows fast and arbitrage-free interpolation of the volatility surface with just one time-dependent parameter

Heston model: shifting on the volatility surface

Renò, Roberto;
2014-01-01

Abstract

Fitting the implied volatility surface is generally a complicated affair. Here, Claudio Pacati, Roberto Reno` and Manola Santilli propose a simple extension of the Heston model that allows fast and arbitrage-free interpolation of the volatility surface with just one time-dependent parameter
Volatility surface; option pricing;
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/927897
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