Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints

Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints

Abstract We propose an efficient method for the construction of an arbitrage-free call option price function from observed call price quotes. The no-arbitrage theory of option pricing places various shape constraints on the option price function. For each available maturity on a given trading day, t...

Full description

Bibliographic Details
Main Authors: Arindam Kundu, Sumit Kumar, Nutan Kumar Tomar, Shiv Kumar Gupta
Format: Article
Language:English
Published: SpringerOpen 2016-06-01
Series:Journal of Inequalities and Applications
Subjects:
call price function
no-arbitrage inequality constraints
constrained functional regression
Bernstein polynomial basis
quadratic programming
Online Access:http://link.springer.com/article/10.1186/s13660-016-1097-x

Internet

http://link.springer.com/article/10.1186/s13660-016-1097-x

Similar Items