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?:abstract
  • The pricing accuracy and pricing performance of local volatility models depend on the absence of arbitrage in the implied volatility surface. An input implied volatility surface that is not arbitrage-free can result in negative transition probabilities and consequently into mispricings and false greeks. We propose an approach for smoothing the implied volatility smile in an arbitrage-free way. The method is simple to implement, computationally cheap and builds on the well-founded theory of natural smoothing splines under suitable shape constraints. (xsd:string)
?:contributor
?:dateModified
  • 2009 (xsd:gyear)
?:datePublished
  • 2009 (xsd:gyear)
?:doi
  • 10.1080/14697680802595585 ()
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  • true (xsd:boolean)
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  • en (xsd:string)
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?:issueNumber
  • 4 (xsd:string)
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?:name
  • Arbitrage-free smoothing of the implied volatility surface (xsd:string)
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?:publicationType
  • Zeitschriftenartikel (xsd:string)
  • journal_article (en)
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  • GESIS-SSOAR (xsd:string)
  • In: Quantitative Finance, 9, 2009, 4, 417-428 (xsd:string)
rdf:type
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?:urn
  • urn:nbn:de:0168-ssoar-221375 ()
?:volumeNumber
  • 9 (xsd:string)