Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines (Q2862436): Difference between revisions

@@ Property / describes a project that uses @@
+COBS
@@ Property / describes a project that uses: COBS / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1002/asmb.877
@@ Property / full work available at URL: https://doi.org/10.1002/asmb.877 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W2117694361
@@ Property / OpenAlex ID: W2117694361 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric Pricing of Interest Rate Derivative Securities
+Normal rank
@@ Property / cites work @@
+Nonparametric state price density estimation using constrained least squares and the bootstrap
+Normal rank
@@ Property / cites work @@
+Arbitrage-free smoothing of the implied volatility surface
+Normal rank
@@ Property / cites work @@
+Nonparametric option pricing under shape restrictions
+Normal rank
@@ Property / cites work @@
+COBS: qualitatively constrained smoothing via linear programming
+Normal rank
@@ Property / cites work @@
+Constrained smoothing \(B\)-splines for the term structure of interest rates
+Normal rank
@@ Property / cites work @@
+The dynamics of implied volatilities: a common principal components approach
+Normal rank
@@ Property / cites work @@
+Semiparametric modeling of implied volatility.
@@ Property / cites work: Semiparametric modeling of implied volatility. / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamics of state price densities
@@ Property / cites work: Dynamics of state price densities / rank @@
+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 @@
+Regression Quantiles
@@ Property / cites work: Regression Quantiles / rank @@
+Normal rank
@@ Property / cites work @@
+A convergent algorithm for quantile regression with smoothing splines
+Normal rank
@@ Property / cites work @@
+Quantile smoothing splines
@@ Property / cites work: Quantile smoothing splines / rank @@
+Normal rank
@@ Property / cites work @@
+Realised quantile-based estimation of the integrated variance
+Normal rank
@@ Property / cites work @@
+An Algorithm for Restricted Least Squares Regression
+Normal rank
@@ Property / cites work @@
+Variable bandwidth and local linear regression smoothers
+Normal rank
@@ Property / cites work @@
+Q3125064
@@ Property / cites work: Q3125064 / rank @@
+Normal rank