Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines

DOI10.1002/asmb.877zbMath1274.65019OpenAlexW2117694361MaRDI QIDQ2862436

Márcio Poletti Laurini

Publication date: 15 November 2013

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.877

zbMATH Keywords

implied volatilityno-arbitrageconstrained smoothing splines

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints ⋮ Arbitrage-free interpolation of call option prices ⋮ Novel computational technique for the direct estimation of risk-neutral density using call price data quotes ⋮ Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Uses Software

• COBS

Cites Work

• Unnamed Item
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• Variable bandwidth and local linear regression smoothers
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• The dynamics of implied volatilities: a common principal components approach
• COBS: qualitatively constrained smoothing via linear programming
• Semiparametric modeling of implied volatility.
• Pricing American Options Fitting the Smile
• An Algorithm for Restricted Least Squares Regression
• Arbitrage-free smoothing of the implied volatility surface
• Regression Quantiles
• Quantile smoothing splines
• Nonparametric Pricing of Interest Rate Derivative Securities

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