No-arbitrage interpolation of the option price function and its reformulation
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Cites work
- scientific article; zbMATH DE number 3708924 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- A nonsmooth version of Newton's method
- A strongly semismooth integral function and its application
- An Algorithm for Constrained Interpolation
- Convergence of Newton's method for convex best interpolation
- Fat homeomorphisms and unbounded derivate containers
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Local uniqueness and convergence of iterative methods for nonsmooth variational inequalities
- Markov-functional interest rate models
- Nonparametric option pricing under shape restrictions
- Optimization and nonsmooth analysis
- Partially finite convex programming. I: Quasi relative interiors and duality theory
- Partially finite convex programming. II: Explicit lattice models
- Reconstructing the unknown local volatility function
- Semismooth Karush-Kuhn-Tucker Equations and Convergence Analysis of Newton and Quasi-Newton Methods for Solving these Equations
- Semismooth and Semiconvex Functions in Constrained Optimization
- Solving variational inequality problems via smoothing-nonsmooth reformulations
- Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
- The pricing of options and corporate liabilities
Cited in
(13)- Shape-preserving interpolation and smoothing for options market implied volatility
- Correction to: ``No-arbitrage commodity option pricing with market manipulation
- Smooth and semismooth Newton methods for constrained approximation and estimation
- Differentiability and semismoothness properties of integral functions and their applications
- Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
- Arbitrage-free interpolation of call option prices
- The interpolation of options
- Detecting and repairing arbitrage in traded option prices
- An interpolation-based approach to American put option pricing
- Valuation functionals and static no arbitrage option pricing formulas
- scientific article; zbMATH DE number 6444283 (Why is no real title available?)
- Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
- VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
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