Shape-preserving interpolation and smoothing for options market implied volatility

DOI10.1007/s10957-009-9541-4zbMath1180.91297OpenAlexW2022181109MaRDI QIDQ1035911

J. Blot

Publication date: 4 November 2009

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-009-9541-4

zbMATH Keywords

shape-preserving interpolationimplied volatilitynonparametric estimationrisk-neutral densityoption price function

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Smooth and Semismooth Newton Methods for Constrained Approximation and Estimation ⋮ A new method for interpolating in a convex subset of a Hilbert space

Cites Work

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• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• A Newton Method for Shape-Preserving Spline Interpolation

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