Olivier Bachem

ETH Zürich - Department of Mathematics

Graduate Student

ETH Zentrum HG-F 42.1

Raemistr. 101

CH-8092 Zurich, 8092

Switzerland

SCHOLARLY PAPERS

1

DOWNLOADS

244

CITATIONS

0

Scholarly Papers (1)

1.

Smooth and Bid-Offer Compliant Volatility Surfaces Under General Dividend Streams

Quantitative Finance, Vol. 13, No. 11, 1801–1812, (2013), Swiss Finance Institute Research Paper No. 13-68,
Number of pages: 26 Posted: 08 Nov 2012 Last Revised: 23 Dec 2013
Olivier Bachem, Gabriel G. Drimus and Walter Farkas
ETH Zürich - Department of Mathematics, Institute of Banking and Finance, University of Zürich and University of Zurich, Swiss Finance Institute (SFI) at Department of Banking and Finance
Downloads 185 (105,581)

Abstract:

implied volatility surface, risk neutral density, discrete dividends