Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
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Publication:2862436
DOI10.1002/asmb.877zbMath1274.65019MaRDI QIDQ2862436
Publication date: 15 November 2013
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.877
65D07: Numerical computation using splines
91G20: Derivative securities (option pricing, hedging, etc.)
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Uses Software
Cites Work
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