Shape-preserving interpolation and smoothing for options market implied volatility

DOI10.1007/s10957-009-9541-4zbMath1180.91297MaRDI QIDQ1035911

J. Blot

Publication date: 4 November 2009

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-009-9541-4

zbMATH Keywords

shape-preserving interpolation; implied volatility; nonparametric estimation; risk-neutral density; option price function

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G70: Statistical methods; risk measures

91G20: Derivative securities (option pricing, hedging, etc.)