Arbitrage-free conditions for implied volatility surface by Delta
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DOI: 10.1016/j.najef.2018.08.011
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More about this item
Keywords
Implied volatility surface; Foreign exchange market; Arbitrage-free condition; Deltas;All these keywords.
JEL classification:
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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