Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
DOI10.1186/S13660-016-1097-XzbMATH Open1338.91160OpenAlexW2409151509WikidataQ59463100 ScholiaQ59463100MaRDI QIDQ295013FDOQ295013
Authors: Arindam Kundu, Sumit Kumar, N. K. Tomar, S. K. Gupta 
Publication date: 17 June 2016
Published in: Journal of Inequalities and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1186/s13660-016-1097-x
Recommendations
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- No-arbitrage interpolation of the option price function and its reformulation
- Arbitrage-free interpolation of call option prices
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Nonparametric option pricing under shape restrictions
quadratic programmingBernstein polynomial basiscall price functionconstrained functional regressionno-arbitrage inequality constraints
Nonparametric regression and quantile regression (62G08) Quadratic programming (90C20) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70) Approximation by polynomials (41A10)
Cites Work
- The pricing of options and corporate liabilities
- Shape restricted nonparametric regression with Bernstein polynomials
- Bayesian Survival Analysis Using Bernstein Polynomials
- The Bernstein polynomial basis: a centennial retrospective
- Unimodal density estimation using Bernstein polynomials
- Title not available (Why is that?)
- Title not available (Why is that?)
- On the convergence of derivatives of Bernstein approximation
- Title not available (Why is that?)
- Nonparametric option pricing under shape restrictions
- Semi-nonparametric estimation with Bernstein polynomials
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- Convex analysis in the semiparametric model with Bernstein polynomials
- Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
- Arbitrage-free approximation of call price surfaces and input data risk
- Option pricing with model-guided nonparametric methods
- Arbitrage-free smoothing of the implied volatility surface
Cited In (6)
- No-arbitrage interpolation of the option price function and its reformulation
- Novel computational technique for the direct estimation of risk-neutral density using call price data quotes
- PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
- Detecting and repairing arbitrage in traded option prices
- 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
This page was built for publication: Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q295013)
