Imposing no-arbitrage conditions in impl
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MΓ‘rcio Poletti Laurini
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Article
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2011
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John Wiley and Sons
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English
β 192 KB
We apply constrained smoothing Bβsplines to the construction of arbitrageβfree implied volatilities and derived measures. The constrained smoothing Bβsplines allows the imposition of the constraints of monotonicity and convexity given by the noβarbitrage conditions in the pricing function. We illust