No-arbitrage interpolation of the option price function and its reformulation

DOI10.1023/B:JOTA.0000025713.44548.71zbMath1140.91413OpenAlexW2076856502MaRDI QIDQ704745

D. Kharzeev

Publication date: 19 January 2005

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

Full work available at URL: https://doi.org/10.1023/b:jota.0000025713.44548.71

zbMATH Keywords

interpolationsuperlinear convergencesemismooth equationsno-arbitrage principleoption price functions

Mathematics Subject Classification ID

Related Items (6)

Smooth and Semismooth Newton Methods for Constrained Approximation and Estimation ⋮ Differentiability and semismoothness properties of integral functions and their applications ⋮ Shape-preserving interpolation and smoothing for options market implied volatility ⋮ Detecting and Repairing Arbitrage in Traded Option Prices ⋮ Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints ⋮ VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS

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