Arbitrage-free smoothing of the implied volatility surface (Q3404099): Difference between revisions

@@ Property / author @@
-Matthias R. Fengler
@@ Property / author: Matthias R. Fengler / rank @@
-Normal rank
@@ Property / author @@
+Matthias R. Fengler
@@ Property / author: Matthias R. Fengler / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2119074269
@@ Property / OpenAlex ID: W2119074269 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric option pricing under shape restrictions
+Normal rank
@@ Property / cites work @@
+Calibrating volatility surfaces via relative-entropy minimization
+Normal rank
@@ Property / cites work @@
+On extracting information implied in options
@@ Property / cites work: On extracting information implied in options / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Local martingales, bubbles and option prices
@@ Property / cites work: Local martingales, bubbles and option prices / rank @@
+Normal rank
@@ Property / cites work @@
+Calibration of the Local Volatility in a Generalized Black--Scholes Model Using Tikhonov Regularization
+Normal rank
@@ Property / cites work @@
+Calibration of the local volatility in a trinomial tree using Tikhonov regularization
+Normal rank
@@ Property / cites work @@
+Pricing American Options Fitting the Smile
@@ Property / cites work: Pricing American Options Fitting the Smile / rank @@
+Normal rank
@@ Property / cites work @@
+Q3999325
@@ Property / cites work: Q3999325 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric state price density estimation using constrained least squares and the bootstrap
+Normal rank
@@ Property / cites work @@
+Martingales and arbitrage in multiperiod securities markets
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Identifying the volatility of underlying assets from option prices
+Normal rank
@@ Property / cites work @@
+Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
+Normal rank
@@ Property / cites work @@
+Smoothing Splines and Shape Restrictions
@@ Property / cites work: Smoothing Splines and Shape Restrictions / rank @@
+Normal rank
@@ Property / cites work @@
+Shape constrained smoothing using smoothing splines
+Normal rank
@@ Property / cites work @@
+Q3996207
@@ Property / cites work: Q3996207 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3404099