Smile perfect match extension
by Christian Kamtchueng
International Journal of Bonds and Derivatives (IJBD), Vol. 3, No. 2, 2017

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.

Online publication date: Sun, 09-Jul-2017

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