No-arbitrage interpolation of the option price function and its reformulation (Q704745)
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scientific article; zbMATH DE number 2129760
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| English | No-arbitrage interpolation of the option price function and its reformulation |
scientific article; zbMATH DE number 2129760 |
Statements
No-arbitrage interpolation of the option price function and its reformulation (English)
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19 January 2005
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option price functions
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no-arbitrage principle
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interpolation
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semismooth equations
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superlinear convergence
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0.8296787738800049
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0.8249158263206482
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0.7915160059928894
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0.7652713656425476
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0.7628928422927856
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