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Smile interpolation and calibration of the local volatility model

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Figure

Figure 1: Implied volatilities for the USD/DEM exchange rate on August 23,1995.
Figure 2: Interpolated implied volatilities on the USD/DEM exchange rate onAugust 1995 in terms of the maturity and the strike.
Figure 3: Call price on the USD/DEM exchange rate on August 1995 in termsof the maturity and the strike.
Figure 5: Local volatilities on the USD/DEM exchange rate on August 1995 interms of the time and spot.
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