System Upgrade on Tue, May 28th, 2024 at 2am (EDT)
Existing users will be able to log into the site and access content. However, E-commerce and registration of new users may not be available for up to 12 hours.For online purchase, please visit us again. Contact us at customercare@wspc.com for any enquiries.
Results: 1 - 1of1
Save this search
Please login to be able to save your searches and receive alerts for new content matching your search criteria.
VOLATILITY SMILE INTERPOLATION WITH RADIAL BASIS FUNCTIONS
Preview AbstractThe Radial Basis Functions (RBF) interpolation is a popular approximation technique used to smooth scattered data in various dimensions. This study uses RBF interpolation to interpolate the volatility skew of the S&P500 index options. The interpolated skews are used to construct the risk-neutral densities of the index and its local volatility surface. The RBF interpolation is contrasted throughout the study with the cubic spline interpolation. An analysis of the densities and the local volatility shows that RBF are an effective and practical tool for interpolating the implied volatility surface.