Moving Least Squares for Arbitrage-Free Price and Volatility Surfaces

DOI10.1007/978-1-4614-3433-7_2zbMath1296.91280OpenAlexW2205154811MaRDI QIDQ2920949

Pascal Heider

Publication date: 29 September 2014

Published in: Topics in Numerical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-3433-7_2

Mathematics Subject Classification ID

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

Cites Work

• Arbitrage-free approximation of call price surfaces and input data risk
• Arbitrage-free smoothing of the implied volatility surface
• On the Relation Between Option and Stock Prices: A Convex Optimization Approach
• Surfaces Generated by Moving Least Squares Methods
• The approximation power of moving least-squares
• Scattered Data Approximation