1 |
J. Andreasen and B. N. Huge, Volatility interpolation, Available at SSRN 1694972, 2010.
|
2 |
D. T. Breeden and R. H. Litzenberger, Prices of state-contingent claims implicit in option prices, The Journal of Business 51 (1978), no. 4, 621-651.
DOI
|
3 |
P. Carr and L. Wu, Static hedging of standard options, J. Financial Econometrics 12 (2014), 1-44.
DOI
|
4 |
S. L. Chung, P. T. Shih, and W. C. Tsai, A modified static hedging method for continuous barrier options, The Journal of Futures Markets 30 (2010), no. 12, 1150-1166.
DOI
|
5 |
B. Dupire, Pricing with a smile, Risk 7 (1994), no. 1, 18-20.
DOI
|
6 |
J. Nocedal and S. J. Wright, Numerical optimization, second edition, Springer Series in Operations Research and Financial Engineering, Springer, New York, 2006.
|
7 |
C. de Boor, A practical guide to splines, Applied Mathematical Sciences, 27, Springer-Verlag, New York, 1978.
|
8 |
L. B. G. Andersen, J. Andreasen, and D. Eliezer, Static replication of barrier options: some general results, J. Comput. Finance 5 (2002), 1-25.
|
9 |
L. B. G. Andersen and R. Brotherton-Ratcliffe, The equity option volatility smile: an implicit finite-difference approach, J. Comput. Finance 1 (1998), no. 2, 5-37.
|
10 |
K. J. Arrow and G. Debreu, Existence of an equilibrium for a competitive economy, Econometrica 22 (1954), 265-290. https://doi.org/10.2307/1907353
DOI
|
11 |
J. Gatheral, The volatility surface: a practitioner's guide, Volume 357, John Wiley & Sons, 2011.
|
12 |
V. Linetsky, The path integral approach to financial modeling and options pricing, Computational Economics 11 (1998), 129-163.
DOI
|
13 |
B. Oksendal, Stochastic differential equations, sixth edition, Universitext, Springer-Verlag, Berlin, 2003. https://doi.org/10.1007/978-3-642-14394-6
DOI
|
14 |
M. J. D. Powell, A hybrid method for nonlinear equations, in Numerical methods for nonlinear algebraic equations (Proc. Conf., Univ. Essex, Colchester, 1969), 87-114, Gordon and Breach, London, 1970.
|