1 citations
3 papers
q-fin.MF2014★ 1 cited
To sigmoid-based functional description of the volatility smile
Andrey Itkin
We propose a new static parameterization of the implied volatility surface which is constructed by using polynomials of sigmoid functions combined with some other terms. This param…
q-fin.PR2012★ 1 cited
Pricing Illiquid Options with Liquid Proxies Using Mixed Dynamic-Static Hedging
I. Halperin, A. Itkin
We study the problem of optimal pricing and hedging of a European option written on an illiquid asset using a set of proxies: a liquid asset , and liquid European option…
q-fin.PR2012★ 1 cited
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Igor Halperin, Andrey Itkin
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on anoth…