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...
Main Authors: | Arindam Kundu, Sumit Kumar, Nutan Kumar Tomar, Shiv Kumar Gupta |
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Format: | Article |
Language: | English |
Published: |
SpringerOpen
2016-06-01
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Series: | Journal of Inequalities and Applications |
Subjects: | |
Online Access: | http://link.springer.com/article/10.1186/s13660-016-1097-x |
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