Smile perfect match extension

Christian Kamtchueng

International Journal of Bonds and Derivatives, 2017, vol. 3, issue 2, 93-113

Abstract: In this paper, we present a model, the SPM, which performs a good 'perfect' calibration of the smile. Between the Black and Scholes and the Local Vol, the SPM was developed a decade ago. In the first part, we present the classic implementation then in a second part we introduce some extensions; one reflecting the correlation skew and another one implying a temporal copula fitting via the OTC market.

Keywords: smile perfect match; SPM; pricing; correlation skew; FX triangle. (search for similar items in EconPapers)
Date: 2017
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