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Call option price function in Bernstein polynomial basis with no arbitrage inequality constraints

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Academic year: 2020

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Figure

Figure 1 Estimated call price functions for both of the times to maturity of τ = 30 days and τ = 80days, respectively.
Figure 2 Estimated call price functions are plotted with mid prices, bid prices and ask prices for deepout-of-money strikes
Figure 3 Call price residuals are computed as Ci – Cˆi, where Ci is the mid price of the observed bid andask quotes and Cˆi denotes the value of the arbitrage-free estimated price
Figure 4 Comparison of the implied volatility curve estimated from the Bernstein polynomial (BP)estimator and the Cubic spline smoothing method.corresponding mid price, bid price and ask price by inverting equation (28)
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