VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS

DOI10.1142/S0219024922500303MaRDI QIDQ5878692zbMATH OpenFDO

Authors

Publication date 22 February 2023

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

Full work available at URL https://doi.org/10.1142/S0219024922500303

zbMATH Keywords

local volatilityradial basis functionRBFrisk-neutral densityvolatility

Mathematics Subject Classification ID

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

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Cites work

• A radial basis function partition of unity collocation method for convection-diffusion equations arising in financial applications
• An algorithm for selecting a good value for the parameter \(c\) in radial basis function interpolation
• Arbitrage-free smoothing of the implied volatility surface
• Arbitrage-free SVI volatility surfaces
• BENCHOP -- SLV: the BENCHmarking project in option pricing -- stochastic and local volatility problems
• BENCHOP -- the benchmarking project in option pricing
• Direct solution of Navier-Stokes equations by radial basis functions
• scientific article; zbMATH DE number 2163514 (Why is no real title available?)
• Meshfree approximation methods with Matlab. With CD-ROM.
• No-arbitrage interpolation of the option price function and its reformulation
• On choosing ``optimal shape parameters for RBF approximation

Cited in

(3)

• Shape-preserving interpolation and smoothing for options market implied volatility
• Reconstruction of volatility surfaces: a first computational study
• Parameter estimation in complementarity-constrained parabolic optimal control model: application to American option implied volatility

Describes a project that uses

Uses Software

• BENCHOP
• Matlab

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