The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...

In this paper, error estimates for generalized Laguerre-Gauss-type interpolations are derived in nonuniformly weighted Sobolev spaces weighted with $\omega _{\alpha ...

Following earlier work of Jones, Davies & Park (1994) we develop estimators based on convolution and interpolation methods, with the aim of reducing their variance and making them competitive with ...