Abstract" Practitioner Black-Scholes"--the BS equation with a different implied volatility (IV)
for each option--is in conflict with the underlying theory from which the model is derived …

In this work, we suggest a novel quadratic programming‐based algorithm to generate an
arbitrage‐free call option surface. The empirical performance of the proposed method is …

In this article, we derive closed-form, interpolation-based expressions for European call
options written on defaultable assets. Our results are based on the work of Henderson et al …

This article provides an improvedmodel-independent lower bound of European call options
written on defaultable assets. On the basis of static arbitrage arguments, improved lower …

In this work, we derive an improved lower bound for European-style put options written on
defaultable assets. Furthermore, we establish two additional no-arbitrage conditions, one for …

Risk neutral densities recovered from option prices can be used to infer market participants'
expectations of future stock returns and are a vital tool for pricing illiquid exotic options …