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Smile perfect match extension


  • Christian Kamtchueng


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.

Suggested Citation

  • Christian Kamtchueng, 2017. "Smile perfect match extension," International Journal of Bonds and Derivatives, Inderscience Enterprises Ltd, vol. 3(2), pages 93-113.
  • Handle: RePEc:ids:ijbder:v:3:y:2017:i:2:p:93-113

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