Documents Rational Shapes of the Volatility Surface Jim Gatheral Global Equity-Linked Products Merrill Lynch.

Slide 1Rational Shapes of the Volatility Surface Jim Gatheral Global Equity-Linked Products Merrill Lynch Slide 2 Risk 2000, Tuesday 13 June 2000 2 References Bakshi, G.,…

Documents Rational Shapes of the Volatility Surface

Rational Shapes of the Volatility Surface Jim Gatheral Global Equity-Linked Products Merrill Lynch References Bakshi, G. , Cao C., Chen Z., âEmpirical Performance of Alternative…