No-arbitrage interpolation of the option price function and its reformulation
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Publication:704745
DOI10.1023/B:JOTA.0000025713.44548.71zbMath1140.91413MaRDI QIDQ704745
Publication date: 19 January 2005
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
interpolation; superlinear convergence; semismooth equations; no-arbitrage principle; option price functions
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