Arbitrage-free smoothing of the implied volatility surface (Q3404099)
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scientific article; zbMATH DE number 5667268
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Arbitrage-free smoothing of the implied volatility surface |
scientific article; zbMATH DE number 5667268 |
Statements
Arbitrage-free smoothing of the implied volatility surface (English)
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5 February 2010
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implied volatility surface
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local volatility
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cubic spline smoothing
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no-arbitrage constraints
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0.8345210552215576
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0.8264445662498474
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0.8262526392936707
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0.8102964162826538
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0.7853854298591614
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