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- W4378506731 abstract "This paper generalizes the local variance gamma model of Carr and Nadtochiy, to a piecewise quadratic local variance function. The formulation encompasses the piecewise linear Bachelier and piecewise linear Black local variance gamma models. The quadratic local variance function results in an arbitrage-free interpolation of class $mathcal{C}^3$. The increased smoothness over the piecewise-constant and piecewise-linear representation allows to reduce the number of knots when interpolating raw market quotes, thus providing an interesting alternative to regularization while reducing the computational cost." @default.
- W4378506731 created "2023-05-27" @default.
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- W4378506731 date "2023-05-23" @default.
- W4378506731 modified "2023-09-30" @default.
- W4378506731 title "The Quadratic Local Variance Gamma Model: an arbitrage-free interpolation of class $mathcal{C}^3$ for option prices" @default.
- W4378506731 doi "https://doi.org/10.48550/arxiv.2305.13791" @default.
- W4378506731 hasPublicationYear "2023" @default.
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