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Arbitrage-free call option surface construction using regression splines - MaRDI portal

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Arbitrage-free call option surface construction using regression splines (Q6574651)

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scientific article; zbMATH DE number 7883171
Language Label Description Also known as
English
Arbitrage-free call option surface construction using regression splines
scientific article; zbMATH DE number 7883171

    Statements

    title
    Arbitrage-free call option surface construction using regression splines (English)
    0 references
    author
    Greg Orosi
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    publication date
    18 July 2024
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    zbMATH Keywords
    nonparametric
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    index option pricing
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    implied volatility
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    arbitrage-free
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    volatility smile
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    volatility surface
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    interpolation
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    splines
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    Identifiers

    zbMATH DE Number
    7883171
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    DOI
    10.1002/ASMB.2045
    0 references
     
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