New answers tagged volatility-smile
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In Dupire's paper, why is $(S_t, t)$ in the $(K, T)$ space?
It is probably worth pointing out that the cited article by Rouah has a serious typo/error. Namely, the quoted result in equation 3 is wrong:
\begin{equation*}
v_L=\frac{\frac{\partial w}{\partial T}}{...
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