Model-free stochastic collocation for an arbitrage-free implied volatility. I. (Q2292062): Difference between revisions

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-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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+Cornelis W. Oosterlee
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+Algorithm 493
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+RROOT_748
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+Algorithm 748
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+Algorithm 748: enclosing zeros of continuous functions
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+The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
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+Nonnegativity-, Monotonicity-, or Convexity-Preserving Cubic and Quintic Hermite Interpolation
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+On Halley's Iteration Method
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+THE COLLEAGUE MATRIX, A CHEBYSHEV ANALOGUE OF THE COMPANION MATRIX
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+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
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+Financial Derivatives in Theory and Practice
@@ Property / cites work: Financial Derivatives in Theory and Practice / rank @@
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+Accurate Monotone Cubic Interpolation
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+Accurate Monotonicity Preserving Cubic Interpolation
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+Algorithm 493: Zeros of a Real Polynomial [C2]
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+An adaptive successive over-relaxation method for computing the Black–Scholes implied volatility
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@@ Property / cites work @@
+Degree of approximation by monotone polynomials. I
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+Fast and flexible methods for monotone polynomial fitting
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+Monotone and Convex Spline Interpolation
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+Q4496287
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+On Shape Preserving Quadratic Spline Interpolation
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+Sur un polynôme d'interpolation
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+Publication:2292062