Sparse modeling approach to the arbitrage-free interpolation of plain-vanilla option prices and implied volatilities
Year of publication: |
2023
|
---|---|
Authors: | Guterding, Daniel |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 11.2023, 5, Art.-No. 83, p. 1-24
|
Subject: | option pricing | plain-vanilla options | volatility interpolation | arbitrage | inverse problem | optimization | regularization | sparse modeling | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Arbitrage | Stochastischer Prozess | Stochastic process | Derivat | Derivative |
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