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Calibrating volatility surfaces via relative-entropy minimization 

Authors: Marco Avellaneda;  Craig Friedman;  Richard Holmes; Dominick Samperi

DOI: 10.1080/135048697334827

Publication Frequency: 6 issues per year

Published in: Applied Mathematical Finance, Volume 4, Issue 1 March 1997 , pages 37 - 64

Subjects: Applied Mathematics; Business Mathematics; Finance; Financial Mathematics; Physics;

Number of References: 36

Formats available: PDF (English)

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