IDEAS home Printed from https://ideas.repec.org/a/ids/ijbder/v3y2017i2p93-113.html
   My bibliography  Save this article

Smile perfect match extension

Author

Listed:
  • Christian Kamtchueng

Abstract

In this paper, we present a model, the SPM, which performs a good 'perfect' calibration of the smile. Between the Black and Scholes and the Local Vol, the SPM was developed a decade ago. In the first part, we present the classic implementation then in a second part we introduce some extensions; one reflecting the correlation skew and another one implying a temporal copula fitting via the OTC market.

Suggested Citation

  • Christian Kamtchueng, 2017. "Smile perfect match extension," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 93-113.
    • Handle: RePEc:ids:ijbder:v:3:y:2017:i:2:p:93-113
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=84917
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijbder:v:3:y:2017:i:2:p:93-113. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=405 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.