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Autor:
Burnos, Sergey, Ngow, ChaSing
To understand and model the dynamics of the implied volatility smile is essential for trading, pricing and risk management portfolio. We suggest a linear Kalman filter for updating of the Stochastic Volatility Inspired (SVI) model of the volatility.
Externí odkaz:
http://urn.kb.se/resolve?urn=urn:nbn:se:hh:diva-13949
