Pages that link to "Item:Q2862436"
From MaRDI portal
The following pages link to Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines (Q2862436):
Displaying 11 items.
- Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints (Q295013) (← links)
- Shape-preserving interpolation and smoothing for options market implied volatility (Q1035911) (← links)
- Implied volatility and state price density estimation: arbitrage analysis (Q1789634) (← links)
- Arbitrage-free smile construction on FX option markets using Garman-Kohlhagen deltas and implied volatilities (Q2096155) (← links)
- Arbitrage-free interpolation of call option prices (Q2173277) (← links)
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints (Q2343744) (← links)
- On the no-arbitrage condition in option implied trees (Q2519099) (← links)
- No-arbitrage bounds for the forward smile given marginals (Q4555138) (← links)
- Novel computational technique for the direct estimation of risk-neutral density using call price data quotes (Q6095386) (← links)
- Arbitrage-free call option surface construction using regression splines (Q6574651) (← links)
- Foreign exchange rate volatility smiles and smirks (Q6579568) (← links)
