Entropy binomial tree method and calibration for the volatility smile

Figures & data

Figure 1. Volatility estimation with entropy binomial tree.

Figure 2. Stability analysis of the algorithm.

Figure 3. Volatility estimation with binomial tree.

Figure 4. Volatility estimation with entropy binomial tree.

Figure 5. Stability analysis of the algorithm.

Figure 6. Local volatility surface.

Figure 7. Interpolated local volatility and calibrated volatility at $K/S_0=115\mathrm{\%}$.

Figure 8. Interpolated local volatility and calibrated volatility at $K/S_0=130\mathrm{\%}$.

Figure 9. Calibrated volatility surface.