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Semi-nonparametric estimation of the call price surface under no-arbitrage constraints

Matthias Fengler & Lin-Yee Hin

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abstract http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1910737
   
type working paper (English)
   
keywords
   
date of appearance 2011
publisher SEPS, University of St. Gallen, Switzerland (St. Gallen)
review not reviewed
   
citation Fengler, M., & Hin, L. Y. (2011). Semi-nonparametric estimation of the call price surface under no-arbitrage constraints. St. Gallen: SEPS, University of St. Gallen, Switzerland.