Smooth and bid-offer compliant volatility surfaces under general dividend streams
针对期权做市商对上市期权报价进行插值与外推的需求，提出一种同时控制波动率曲面平滑度与买卖报价合规性的方法，适用于一般股息流（连续、离散收益率与离散现金）的资产动态。
Given bid-offer quotes for a set of listed vanilla options, a fundamental need of option market makers is to interpolate and extrapolate the available quotes to a full arbitrage-free surface. We propose a methodology which directly controls the trade-off between smoothness and bid-offer compliance of the resulting volatility surface. Unlike previous literature, the method applies simultaneously to all listed maturities and aims to smooth the implied risk-neutral densities. Additionally, we consider asset dynamics which allow for general dividend streams—continuous, discrete yield and discrete cash—a modelling aspect of key importance in option markets.