No-arbitrage interpolation of the option price function and its reformulation (Q704745)
From MaRDI portal
!
WARNING
This is the item page for this Wikibase entity, intended for internal use and editing purposes.
Please use the normal view instead:
scientific article; zbMATH DE number 2129760
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
19 January 2005
0 references
option price functions
0 references
no-arbitrage principle
0 references
interpolation
0 references
semismooth equations
0 references
superlinear convergence
0 references
0 references
0 references
0 references
0.8296787738800049
0 references
0.8249158263206482
0 references
0.7915160059928894
0 references
0.7652713656425476
0 references
0.7628928422927856
0 references
