Arbitrage-free interpolation of call option prices

DOI10.1515/strm-2018-0026zbMath1433.91193OpenAlexW3002495312WikidataQ126319344 ScholiaQ126319344MaRDI QIDQ2173277

Christian Bender, Matthias Thiel

Publication date: 22 April 2020

Published in: Statistics \& Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/strm-2018-0026

zbMATH Keywords

interpolationlocal volatility modelingstatic arbitrage

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical interpolation (65D05)

Cites Work

• The Pricing of Options and Corporate Liabilities
• Nonparametric option pricing under shape restrictions
• Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
• Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
• Arbitrage-free SVI volatility surfaces
• ASYMPTOTIC EQUIVALENCE IN LEE'S MOMENT FORMULAS FOR THE IMPLIED VOLATILITY, ASSET PRICE MODELS WITHOUT MOMENT EXPLOSIONS, AND PITERBARG'S CONJECTURE
• Arbitrage-free approximation of call price surfaces and input data risk
• Arbitrage-free smoothing of the implied volatility surface
• THE RANGE OF TRADED OPTION PRICES
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• Stochastic Volatility for Lévy Processes

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