Arbitrage-free interpolation of call option prices (Q2173277): Difference between revisions

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-.1515/strm-2018-0026
@@ Property / DOI: 10.1515/strm-2018-0026 / rank @@
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+MaRDI publication profile
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@@ Property / full work available at URL @@
+https://doi.org/10.1515/strm-2018-0026
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+W3002495312
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+Q126319344
@@ Property / Wikidata QID: Q126319344 / rank @@
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@@ Property / cites work @@
+Nonparametric option pricing under shape restrictions
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
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+Stochastic Volatility for Lévy Processes
@@ Property / cites work: Stochastic Volatility for Lévy Processes / rank @@
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+THE RANGE OF TRADED OPTION PRICES
@@ Property / cites work: THE RANGE OF TRADED OPTION PRICES / rank @@
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@@ Property / cites work @@
+Arbitrage-free smoothing of the implied volatility surface
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@@ Property / cites work @@
+Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
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@@ Property / cites work @@
+Arbitrage-free SVI volatility surfaces
@@ Property / cites work: Arbitrage-free SVI volatility surfaces / rank @@
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@@ Property / cites work @@
+Arbitrage-free approximation of call price surfaces and input data risk
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@@ Property / cites work @@
+ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE
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@@ Property / cites work @@
+Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
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@@ Property / cites work @@
+THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
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@@ Property / DOI @@
+.1515/STRM-2018-0026
@@ Property / DOI: 10.1515/STRM-2018-0026 / rank @@
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@@ links / mardi / name / links / mardi / name @@
+Publication:2173277