On estimation of volatility surface and prediction of future spot volatility

Fima C Klebaner, Truc Thanh Ngoc Le, Robert Sh Liptser

Research output: Contribution to journal › Article › Research › peer-review

Original language	English
Pages (from-to)	245 - 263
Number of pages	19
Journal	Applied Mathematical Finance
Volume	13
Issue number	3
Publication status	Published - 2006

Cite this

@article{9a9a7163ae6247388aca137276a5b52f,

title = "On estimation of volatility surface and prediction of future spot volatility",

author = "Klebaner, \{Fima C\} and Le, \{Truc Thanh Ngoc\} and Liptser, \{Robert Sh\}",

year = "2006",

language = "English",

volume = "13",

pages = "245 -- 263",

journal = "Applied Mathematical Finance",

issn = "1350-486X",

publisher = "Taylor \& Francis",

number = "3",

}