Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines (Q2862436)
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scientific article; zbMATH DE number 6227437
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| English | Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines |
scientific article; zbMATH DE number 6227437 |
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Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines (English)
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15 November 2013
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implied volatility
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no-arbitrage
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constrained smoothing splines
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0.8345210552215576
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0.7852006554603577
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0.7778469920158386
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0.7589017152786255
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0.7557756304740906
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