Arbitrage-free interpolation of call option prices
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Publication:2173277
DOI10.1515/STRM-2018-0026zbMATH Open1433.91193OpenAlexW3002495312WikidataQ126319344 ScholiaQ126319344MaRDI QIDQ2173277FDOQ2173277
Authors: 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
Recommendations
- No-arbitrage interpolation of the option price function and its reformulation
- Arbitrage-free approximation of call price surfaces and input data risk
- ARBITRAGE-FREE OPTION PRICING MODELS
- Approximate arbitrage-free option pricing under the SABR model
- Arbitrage-free option prices on global markets
- The interpolation of options
- On the arbitrage price of European call options
- An interpolation-based approach to American put option pricing
- An Ingenious, Piecewise Linear Interpolation Algorithm for Pricing Arithmetic Average Options
- An arbitrage-free approach to quasi-option value
Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical interpolation (65D05)
Cites Work
- The pricing of options and corporate liabilities
- Stochastic Volatility for Lévy Processes
- THE RANGE OF TRADED OPTION PRICES
- 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 approximation of call price surfaces and input data risk
- Arbitrage-free smoothing of the implied volatility surface
- THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
- Asymptotic equivalence in Lee's moment formulas for the implied volatility, asset price models without moment explosions, and Piterbarg's conjecture
- Arbitrage-free SVI volatility surfaces
Cited In (8)
- No-arbitrage interpolation of the option price function and its reformulation
- An arbitrage-free approach to quasi-option value
- Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
- The interpolation of options
- Title not available (Why is that?)
- An interpolation-based approach to American put option pricing
- Arbitrage-free interpolation of the swap curve
- Arbitrage-free approximation of call price surfaces and input data risk
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