ABSTRACT In this paper, we present a new efficient and robust framework for European option pricing under continuous-time asset models from the family of exponential semimartingale processes. We ...

This paper extends and refines the method of option pricing by frame projection of riskneutral densities to incorporate general basis splines (B-splines), including the cubic basis, and general payoff ...

This example illustrates some properties of splines. Splines are curves, which are usually required to be continuous and smooth. Splines are usually defined as piecewise polynomials of degree n with ...

SPLINE, BSPLINE, and PSPLINE Comparisons SPLINE is a transformation. It takes a variable as input and produces a transformed variable as output. Internally, with SPLINE, a B-spline basis is used to ...

In a transformation model h (Y) = X'β + ε for some smooth and usually monotone function h, we are often interested in the direction of β without knowing the exact form of h. We consider a projection ...

Eight FORTRAN subprograms for dealing computationally with piecewise polynomial functions (of one variable) are presented. The package is built around an algorithm for the stable evaluation of ...