\(\ell_1\)-constrained implied transition densities

DOI10.1016/J.CAM.2023.115487zbMath1528.91079MaRDI QIDQ6049315

Sungchul Lee, Hyuncheul Lim

Publication date: 17 October 2023

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

linear programmingimplied volatilitythin plate splineimplied transition density function

Mathematics Subject Classification ID

Numerical computation using splines (65D07) Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic particle methods (65C35)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Arbitrage-free SVI volatility surfaces
• Arbitrage-free smoothing of the implied volatility surface
• Estimation of risk-neutral measures using quartic B-spline cumulative distribution functions with power tails
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