Recent content by kbhatt

Hi, I am using a programme which does the SSA decomposition. But as we know SSA is NON-CAUSAL. Can anyone throw some light on how to modify SSA to CAUSAL SSA. I appreciate any guidance on this. Thanks

Thanks for pointing this out. I quickly glanced through chapter 7 of this book "Volatility Surface Asymptotics". It doesn't talk about Gabillon model which I really want to understand. Could someone suggest the models generally used for pricing Strip Option. Any explanation and/or reference...

Hi, I am new to Quant but have worked as software developer in risk management product. I need to understand what are the different ways to calculate early expiry volatility. Basically I need it to price serial(strip) option. One of the suggestion was given to use Gabillon Model to calculate...