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Testing of an Arbitrage-free Volatility Surface
The Ensemble Carr-Pelts surface, which is a weighted mixture of standard CarrPelts surfaces, is an arbitrage-free parameterization of an implied volatility surface proposed by Antonov, Konikov and Spector (2019). This dissertation aims to investigate the additional benefits provided by using the Ens...
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| Format: | Thesis |
| Language: | English |
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Department of Finance and Tax
2023
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