Arbitrage-free smoothing of the implied volatility surface (Q3404099)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Arbitrage-free smoothing of the implied volatility surface |
scientific article; zbMATH DE number 5667268
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
5 February 2010
0 references
implied volatility surface
0 references
local volatility
0 references
cubic spline smoothing
0 references
no-arbitrage constraints
0 references
0 references
0 references
0 references
0 references
0.8345210552215576
0 references
0.8264445662498474
0 references
0.8262526392936707
0 references
0.8102964162826538
0 references
0.7853854298591614
0 references
