Imposing No-Arbitrage Conditions In Implied Volatility Surfaces Using Constrained Smoothing Splines
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cristian Homescu, 2011. "Implied Volatility Surface: Construction Methodologies and Characteristics," Papers 1107.1834, arXiv.org.
- Fengler, Matthias & Hin, Lin-Yee, 2011. "Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints," Economics Working Paper Series 1136, University of St. Gallen, School of Economics and Political Science, revised May 2013.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-26 (All new papers)
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