Essays about: "Alexander Aurell"

Found 1 essay containing the words Alexander Aurell.

  1. 1. The SVI implied volatility model and its calibration

    University essay from KTH/Matematisk statistik

    Author : Alexander Aurell; [2014]
    Keywords : ;

    Abstract : The SVI implied volatility model is a parametric model for stochastic implied volatility.The SVI is interesting because of the possibility to state explicit conditions on its parameters so that the model does not generate prices where static arbitrage opportunities can occur. READ MORE