Arbitrage-free approximation of call price surfaces and input data risk

DOI10.1080/14697688.2010.514005zbMath1241.91113MaRDI QIDQ2893075

J. Glaser, Pascal Heider

Publication date: 25 June 2012

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.514005

zbMATH Keywords

moving least squares; volatility surfaces; implied volatilities; input data risk

Mathematics Subject Classification ID

91G70: Statistical methods; risk measures

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

Related Items

Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints, Implied volatility and state price density estimation: arbitrage analysis, 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, Smooth and bid-offer compliant volatility surfaces under general dividend streams, Arbitrage-free SVI volatility surfaces, Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces

Uses Software

• ANN

Cites Work

• Unnamed Item
• On extracting information implied in options
• A local least-squares method for solving nonlinear partial differential equations of second order
• Martingales and stochastic integrals in the theory of continuous trading
• Local linear regression smoothers and their minimax efficiencies
• Arbitrage-free smoothing of the implied volatility surface
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• The approximation power of moving least-squares