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Aug 8 |
comment |
What functional form describes the implied volatility curve? Historically, we have used a degree 2 polynomial (parabola) but currently it does not produce a good, arbitrage free, fit hence my question. |
|
Aug 8 |
comment |
What functional form describes the implied volatility curve? Historically, we have used a degree 2 polynomial (parabola) but currently it does not produce a good, arbitrage free, fit hence my question. |