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- W33494981 abstract "This paper illustrates how to construct an unconditionally stable finite-difference lattice consistent with the equity option volatility smile. In particular, the paper shows how to extend the method of forward induction on Arrow-Debreu securities to generate local instantaneous volatilities in implicit and semi-implicit (Crank-Nicholson) lattices. The technique developed in the paper provides a highly accurate fit to the entire volatility smile and offers excellent convergence properties and high flexibility of asset- and time-space partitioning. Contrary to standard algorithms based on binomial trees, our approach is well suited to price options with discontinuous payouts (e.g. knock-out and barrier options) and does not suffer from problems arising from negative branching probabilities." @default.
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- W33494981 date "1997-01-01" @default.
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- W33494981 title "The equity option volatility smile: an implicit finite-difference approach" @default.
- W33494981 doi "https://doi.org/10.21314/jcf.1997.009" @default.
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