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: | , , , |
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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 |