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
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