Lee, Seung Hwan - In: Quantitative Finance 14 (2014) 10, pp. 1857-1879
In this paper, we propose the B-spline (BSP) method, which overcomes problems with the smoothed implied volatility smile (SML) method for estimating option implied risk-neutral measures (RNMs). We model the risk-neutral cumulative distribution function (CDF) using quartic B-splines with power...