Arbitrage-Free Smoothing of the Implied Volatility Surface
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 .
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- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Interest-Rate Instruments >
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