Shape-Preserving Interpolation and Smoothing for Options Market Implied Volatility

H. Yin, Y. Wang, L. Qi. Shape-Preserving Interpolation and Smoothing for Options Market Implied Volatility. J. Optimization Theory and Applications, 142(1):243-266, 2009. [doi]

Authors

H. Yin

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Y. Wang

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L. Qi

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