No-arbitrage interpolation of the option price function and its reformulation

DOI10.1023/B:JOTA.0000025713.44548.71zbMATH Open1140.91413OpenAlexW2076856502MaRDI QIDQ704745FDOQ704745

Authors: D. Kharzeev 

Publication date: 19 January 2005

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jota.0000025713.44548.71

Recommendations

• Arbitrage-free interpolation of call option prices
• Shape-preserving interpolation and smoothing for options market implied volatility
• Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
• Model-free stochastic collocation for an arbitrage-free implied volatility. I.
• An interpolation-based approach to American put option pricing

zbMATH Keywords

interpolationsuperlinear convergencesemismooth equationsno-arbitrage principleoption price functions

Mathematics Subject Classification ID

Abstract approximation theory (approximation in normed linear spaces and other abstract spaces) (41A65)

Cites Work

• The pricing of options and corporate liabilities
• A nonsmooth version of Newton's method
• Optimization and nonsmooth analysis
• Title not available (Why is that?)
• Semismooth and Semiconvex Functions in Constrained Optimization
• Title not available (Why is that?)
• Partially finite convex programming. I: Quasi relative interiors and duality theory
• Local uniqueness and convergence of iterative methods for nonsmooth variational inequalities
• Nonparametric option pricing under shape restrictions
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Partially finite convex programming. II: Explicit lattice models
• A strongly semismooth integral function and its application
• Semismooth Karush-Kuhn-Tucker Equations and Convergence Analysis of Newton and Quasi-Newton Methods for Solving these Equations
• Solving variational inequality problems via smoothing-nonsmooth reformulations
• Reconstructing the unknown local volatility function
• Stochastic Implied Trees: Arbitrage Pricing with Stochastic Term and Strike Structure of Volatility
• Markov-functional interest rate models
• Fat homeomorphisms and unbounded derivate containers
• An Algorithm for Constrained Interpolation
• Convergence of Newton's method for convex best interpolation

Cited In (13)

• Correction to: ``No-arbitrage commodity option pricing with market manipulation
• Title not available (Why is that?)
• Detecting and repairing arbitrage in traded option prices
• Valuation functionals and static no arbitrage option pricing formulas
• Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
• Arbitrage-free interpolation of call option prices
• VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
• Shape-preserving interpolation and smoothing for options market implied volatility
• Smooth and semismooth Newton methods for constrained approximation and estimation
• Differentiability and semismoothness properties of integral functions and their applications
• The interpolation of options
• Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
• An interpolation-based approach to American put option pricing

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