A semi-closed form approximation of arbitrage‑free call option price surface
Arindam Kundu, Sumit Kumar, Nutan Kumar Tomar
| Year of publication: |
2024
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|---|---|
| Authors: | Kundu, Arindam ; Kumar, Sumit ; Tomar, Nutan Kumar |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 63.2024, 4, p. 1431-1457
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| Subject: | Option pricing | No-arbitrage conditions | Bernstein polynomial | Finite dimensional constrained least squares | Quadratic programming | Monte-Carlo simulation | Optionspreistheorie | Option pricing theory | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Optionsgeschäft | Option trading | Kleinste-Quadrate-Methode | Least squares method | Nichtparametrisches Verfahren | Nonparametric statistics | Arbitrage | Derivat | Derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10368-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014549032