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Convex Interpolation |
kubila
Joined: 06 Mar 2009
Posts: 9
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 Posted: Tue May 12, 2009 3:17 am Post subject: |
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Thanks a lot! That's exactly what I want! |
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Cuchulainn
Joined: 18 Dec 2006
Posts: 461
Location: Amsterdam, the Netherlands
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kubila
Joined: 06 Mar 2009
Posts: 9
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| Posted: Mon May 11, 2009 2:27 am Post subject: why not work |
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| Cuchulainn wrote: | Are you thinking of some kind of least squares or min-max algos?
Why do the usual interpolators not work? |
The context is that I have a finite difference result of option prices and now I want to interpolate them. I was thinking that since the option prices are convext against the spot stock price, when we interpolate we should do some kind of a convex interpolation to avoid arbitrage. Am I wrong? Please advise. |
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Cuchulainn
Joined: 18 Dec 2006
Posts: 461
Location: Amsterdam, the Netherlands
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| Posted: Sat May 09, 2009 1:21 pm Post subject: |
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Are you thinking of some kind of least squares or min-max algos?
Why do the usual interpolators not work? |
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kubila
Joined: 06 Mar 2009
Posts: 9
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| Posted: Tue May 05, 2009 4:55 am Post subject: Convex Interpolation |
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I want to interpolate option prices across stock prices and volatilities. Since option prices are convex w.r.t. spot price, I guess usual interpolation techniques(splines, parabolic, linear)do not apply. I am wondering if there's existing code available for download?
Last edited by kubila on Mon May 11, 2009 2:28 am; edited 1 time in total |
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