Model-Free Stochastic Collocation for an Arbitrage-Free Implied Volatility, Part II
Sign Up to like & getrecommendations! Published in 2019 at "Risks"
DOI: 10.3390/risks7010030
Abstract: This paper explores the stochastic collocation technique, applied on a monotonic spline, as an arbitrage-free and model-free interpolation of implied volatilities. We explore various spline formulations, including B-spline representations. We explain how to calibrate the… read more here.
Keywords: model free; implied volatility; stochastic collocation; arbitrage free ... See more keywords