Bender, Christian; Thiel, Matthias - In: Statistics & Risk Modeling 37 (2020) 1-2, pp. 55-78
Abstract In this paper, we introduce a new interpolation method for call option prices and implied volatilities with respect to the strike, which first generates, for fixed maturity, an implied volatility curve that is smooth and free of static arbitrage.
Our interpolation method is based on a...