Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints

DOI10.1186/S13660-016-1097-XMaRDI QIDQ295013zbMATHOpenAlexWikidataFDO

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

zbMATH Keywords

quadratic programmingBernstein polynomial basiscall price functionconstrained functional regressionno-arbitrage inequality constraints

Mathematics Subject Classification ID

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)

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
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• Nonparametric option pricing under shape restrictions

Cites work

• scientific article; zbMATH DE number 757677 (Why is no real title available?)
• scientific article; zbMATH DE number 6137478 (Why is no real title available?)
• scientific article; zbMATH DE number 3080734 (Why is no real title available?)
• Arbitrage-free approximation of call price surfaces and input data risk
• Arbitrage-free smoothing of the implied volatility surface
• Bayesian Survival Analysis Using Bernstein Polynomials
• Convex analysis in the semiparametric model with Bernstein polynomials
• Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
• Nonparametric option pricing under shape restrictions
• On the convergence of derivatives of Bernstein approximation
• Option pricing with model-guided nonparametric methods
• Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
• Semi-nonparametric estimation with Bernstein polynomials
• Shape restricted nonparametric regression with Bernstein polynomials
• The Bernstein polynomial basis: a centennial retrospective
• The pricing of options and corporate liabilities
• Unimodal density estimation using Bernstein polynomials

Cited in

(6)

• Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
• Detecting and repairing arbitrage in traded option prices
• PRICING CALLABLE BONDS BY MEANS OF GREEN'S FUNCTION
• No-arbitrage interpolation of the option price function and its reformulation
• Imposing no-arbitrage conditions in implied volatilities using constrained smoothing splines
• Novel computational technique for the direct estimation of risk-neutral density using call price data quotes

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