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Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints
Fengler, Matthias R.; Hin, Lin-Yee - In: Journal of econometrics 184 (2015) 2, pp. 242-261
Persistent link: https://www.econbiz.de/10011339347
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Semi-Nonparametric Estimation of the Call Price Surface Under Strike and Time-to-expiry No-Arbitrage Constraints
Fengler, Matthias R. - 2015
local volatility surface for S&P500 option data …
Persistent link: https://www.econbiz.de/10013037722
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The extended SSVI volatility surface
Hendriks, Sebas; Martini, Claude - In: The journal of computational finance 22 (2018/2019) 5, pp. 25-39
Persistent link: https://www.econbiz.de/10012042223
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Stable implied calibration of a multi-factor LIBOR model via semi-parametric correlation structure
Schoenmakers, John (contributor); Coffey, Brian (contributor) - 2000 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001544421
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A non-parametric option pricing model : theory and empirical evidence
Chen, Ren-Raw; Palmon, Oded - In: Review of quantitative finance and accounting 24 (2005) 2, pp. 115-134
Persistent link: https://www.econbiz.de/10002851785
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Entwurf eines Optionspreismodells mit stochastischer Volatilität und tendenziell stabiler IVF-Struktur
Hausmann, Wilfried - 2007
Persistent link: https://www.econbiz.de/10003635776
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Arbitrage-free market models for liquid options
Wissel, Johannes Stefan - 2008
Persistent link: https://www.econbiz.de/10003726013
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Arbitrage-free market models for option prices : the multi-strike case
Schweizer, Martin; Wissel, Johannes - In: Finance and stochastics 12 (2008) 4, pp. 469-505
Persistent link: https://www.econbiz.de/10003899262
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Calibrating arbitrage free implied volatility surface with embedded put-call parity
Dutta, Tridibesh; Ghosh, Alankar - In: Decision 37 (2010) 1, pp. 57-72
Persistent link: https://www.econbiz.de/10008657235
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Asymptotic arbitrage in the Heston model
Haba, Fatma; Jacquier, Antoine - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-18
Persistent link: https://www.econbiz.de/10011419412