Arbitrage-free approximation of call price surfaces and input data risk
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Publication:2893075
DOI10.1080/14697688.2010.514005zbMath1241.91113OpenAlexW2117727114MaRDI QIDQ2893075
Publication date: 25 June 2012
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2010.514005
Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (11)
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Uses Software
Cites Work
- On extracting information implied in options
- A local least-squares method for solving nonlinear partial differential equations of second order
- Martingales and stochastic integrals in the theory of continuous trading
- Local linear regression smoothers and their minimax efficiencies
- Arbitrage-free smoothing of the implied volatility surface
- On the Relation Between Option and Stock Prices: A Convex Optimization Approach
- The approximation power of moving least-squares
- Unnamed Item
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