Browsing by Author "Pravosud, Makar"

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  • Alòs, Elisa; García-Lorite, David; Pravosud, Makar (Taylor & Francis, 2023)
    In this paper, we study the relationship between the short-end of the local and the implied volatility surfaces. Our results, based on Malliavin calculus techniques, recover the recent 1H+3/2 rule (where H denotes the ...
  • Altmeyer, Patrick; Grapendal, Jacob Daniel; Pravosud, Makar; Quintana, Gand Derry (2018)
    This paper evaluates the calibration method of the Heston model presented by Alòs, De Santiago, and Vives (2015). We propose a slightly more efficient configuration of the optimization procedure by introducing initial ...

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