Arbitrage-Free Smoothing of the Implied Volatility Surface

Versione 1.0.0.0 (55,5 KB) da Philipp Rindler
Function to smooth call option prices and implied volatilities free of static arbitrage.
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Aggiornato 16 apr 2014

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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.

Cita come

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. Recuperato .

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Creato con R2013b
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Versione Pubblicato Note della release
1.0.0.0