Arbitrage-free call option surface construction using regression splines

DOI10.1002/ASMB.2045MaRDI QIDQ6574651zbMATH OpenFDO

Authors Greg Orosi

Publication date 18 July 2024

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/ASMB.2045

zbMATH Keywords

arbitrage-freeimplied volatilityindex option pricinginterpolationnonparametricsplinesvolatility smilevolatility surface

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• Arbitrage-free smoothing of the implied volatility surface
• scientific article; zbMATH DE number 3483405 (Why is no real title available?)
• scientific article; zbMATH DE number 1917660 (Why is no real title available?)
• Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
• Is there an informationally passive benchmark for option pricing incorporating maturity?
• Semiparametric Regression
• The pricing of options and corporate liabilities
• The shape and term structure of the index option smirk: why multifactor stochastic volatility models work so well

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