Fast algorithm for nonparametric arbitrage-free SPD estimation (Q1010575)

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Fast algorithm for nonparametric arbitrage-free SPD estimation
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    title
    Fast algorithm for nonparametric arbitrage-free SPD estimation (English)
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    author
    Zdeněk Hlávka
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    publication date
    6 April 2009
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    Mathematics Subject Classification ID
    62P05
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    91B28
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    91B24
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    zbMATH DE Number
    5540562
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    zbMATH Keywords
    option pricing
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    nonlinear least squares
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    constrained estimation
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