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Corbetta Jacopo Cohort Pierre Laachir Ismail Martini Claude 《Decisions in Economics and Finance》2019,42(2):665-677
Decisions in Economics and Finance - We describe a robust calibration algorithm of a set of SSVI maturity slices (i.e., a set of 3 SSVI parameters $$\theta _t, \rho _t, \varphi _t$$... 相似文献
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