Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints☆

By Matthias R. Fengler, Lin-Yee Hin. 2015

59 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Numerical Analysis

View Paper: https://www.semanticscholar.org/paper/4d670897885f789e5bdabfc19ee93b9efa5b5e2a