Sculpting implied volatility surfaces of illiquid assets
From the stock cumulative distribution function an arbitrage-free volatility surface is derived
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Valer Zetocha provides a systematic algorithm to construct a complete, fully consistent implied volatility surface for assets with sparse market option data. The central part of the algorithm is the time-translation of the stock cumulative distribution function that facilitates the generation of non-arbitrageable but market-consistent data for new, non-quoted
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