Arbitrage-Free Smoothing of the Implied Volatility Surface

Version 1.0.0.0 (55,5 KB) von Philipp Rindler
Function to smooth call option prices and implied volatilities free of static arbitrage.
5.0
(3)
1,8K Downloads
Aktualisiert 16 Apr 2014

Lizenz anzeigen

The function is an implementation of the method proposed in Fengler, M. (2009). Arbitrage-Free Smoothing of the Implied Volatility Surface. Quantitative Finance, 9:4, 417-428.
The method uses smoothing splines under shape constraints to estimate call option prices as a function of strike and time-to-maturity. Based on these prices, implied volatilities can be obtained.

Zitieren als

Philipp Rindler (2024). Arbitrage-Free Smoothing of the Implied Volatility Surface (https://www.mathworks.com/matlabcentral/fileexchange/46253-arbitrage-free-smoothing-of-the-implied-volatility-surface), MATLAB Central File Exchange. Abgerufen .

Kompatibilität der MATLAB-Version
Erstellt mit R2013b
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

html/

Version Veröffentlicht Versionshinweise
1.0.0.0