VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS

DOI10.1142/S0219024922500303MaRDI QIDQ5878692

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Publication date: 22 February 2023

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

RBFradial basis functionvolatilitylocal volatilityrisk-neutral density

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical radial basis function approximation (65D12)

Uses Software

• Matlab
• BENCHOP

Cites Work

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• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
• No-arbitrage interpolation of the option price function and its reformulation
• Direct solution of Navier-Stokes equations by radial basis functions
• An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation
• On choosing ``optimal shape parameters for RBF approximation
• BENCHOP – The BENCHmarking project in option pricing
• Arbitrage-free SVI volatility surfaces
• Arbitrage-free smoothing of the implied volatility surface
• BENCHOP – SLV: the BENCHmarking project in Option Pricing – Stochastic and Local Volatility problems

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