A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process

Farzad Alavi Fard, Armin Pourkhanali, Malick Sy. A non-parametric inference for implied volatility governed by a Lévy-driven Ornstein-Uhlenbeck process. Algorithmic Finance, 7(1-2):15-30, 2018. [doi]

Abstract

Abstract is missing.