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yondaime
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Joined: May 18th, 2020, 8:46 pm

Nabil Kahale's Smile Interpolation Paper

June 2nd, 2020, 10:45 am

Hi,

I was going through the 2005 paper on "Smile interpolation and calibration of the local volatility model" by Nabil Kahale (attached). He gives Algorithm A which he describes as in attachment 1. The c(j) and gamma(j) are mentioned in Theorem 3 of the same paper as in attachment 2.

Unfortunately I am stuck at step 2, not knowing how to initiate these values for the loop. Can someone, who has probably tried this method earlier, help me?

Thanks a lot!
Attachments
Smile Interpolation.pdf
(335.6 KiB) Downloaded 125 times
atachment 2.png
Theorem 3
atachment 1.png
Algorithm A
 
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Alan
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Joined: December 19th, 2001, 4:01 am
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Re: Nabil Kahale's Smile Interpolation Paper

June 3rd, 2020, 12:49 am

Looked briefly, but got a headache. Your best bet might be to browse papers that cite it, and hope one of them helps you out.
 
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tagoma
Posts: 18362
Joined: February 21st, 2010, 12:58 pm

Re: Nabil Kahale's Smile Interpolation Paper

June 15th, 2020, 8:32 pm

What did the author reply when you asked him?
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