Option Prices, Implied Price Processes, and Stochastic Volatility
刻画了与当前期权价格一致的所有连续价格过程，扩展了仅考虑确定性波动率的模型，并展示如何调整任意波动率过程以精确拟合当前期权价格，可用于快速校准和高效定价奇异期权。
This paper characterizes all continuous price processes that are consistent with current option prices. This extends Derman and Kani (1994) , Dupire (1994 , 1997 ), and Rubinstein (1994) , who only consider processes with deterministic volatility. Our characterization implies a volatility forecast that does not require a specific model, only current option prices. We show how arbitrary volatility processes can be adjusted to fit current option prices exactly, just as interest rate processes can be adjusted to fit bond prices exactly. The procedure works with many volatility models, is fast to calibrate, and can price exotic options efficiently using familiar lattice techniques.