Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines

DOI10.1002/asmb.877zbMath1274.65019MaRDI QIDQ2862436

Márcio Poletti Laurini

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

zbMATH Keywords

implied volatility; no-arbitrage; constrained smoothing splines

Mathematics Subject Classification ID

65D07: Numerical computation using splines

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

Related Items

Novel computational technique for the direct estimation of risk-neutral density using call price data quotes, Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints, Arbitrage-free interpolation of call option prices, Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints

Uses Software

• COBS

Cites Work

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