approach involves the use of an interpolation technique proposed in this thesis which greatly reduces the required …

related commodities; and linear interpolation, which uses the last and next observations for the item to linearly interpolate …. Certain hybrid techniques, combining either carry-forward or cell-mean with linear interpolation, are also considered. Our … price index: (3) linear interpolation results in less fluctuation of prices than the true series: (4) combining either carry …

the first to develop a united framework for the three problems (interpolation, extrapolation and distribution) of …

Abstract In this paper, we introduce a new interpolation method for call option prices and implied volatilities with … static arbitrage. Our interpolation method is based on a distortion of the call price function of an arbitrage-free financial … one-dimensional interpolation method on every input maturity and interpolating the generated curves in the maturity …

probability distribution. However, this assumption is not fulfilled, e.g., in interpolation, extrapolation, active learning, or …

This paper surveys a wide selection of the interpolation algorithms that are in use in financial markets for … issue of bootstrapping is reviewed and how the interpolation algorithm should be intimately connected to the bootstrap … (or indeed an inhouse developer) as a viable option for yield curve interpolation. As will be seen, many of these methods …

barrier options improving the efficiency of the trinomial methods. Our approach is based on a suitable interpolation of …