Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints

DOI10.1186/s13660-016-1097-xzbMath1338.91160OpenAlexW2409151509WikidataQ59463100 ScholiaQ59463100MaRDI QIDQ295013

Sumit Kumar, Arindam Kundu, Shiv K. Gupta, Nutan Kumar Tomar

Publication date: 17 June 2016

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

Full work available at URL: https://doi.org/10.1186/s13660-016-1097-x

zbMATH Keywords

quadratic programmingBernstein polynomial basiscall price functionconstrained functional regressionno-arbitrage inequality constraints

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Statistical methods; risk measures (91G70) Quadratic programming (90C20) Derivative securities (option pricing, hedging, etc.) (91G20) Approximation by polynomials (41A10)

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Cites Work

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