arXiv research

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1 result for “mixture-preserving”

Mixture-Preserving, Arbitrage-Free Interpolation for Volatility-Surface Modelsq-fin.CP

Continuous-time interpolation of volatility surfaces preserving mixtures and arbitrage-free.

problem Interpolation of volatility surfaces

method Constructing a mixture-preserving, arbitrage-free interpolation

result Lifts Brigo-Mercurio to time-varying weights with additive cost

volatility surface interpolation arbitrage-free mixture-preserving

2026-06-10abs ↗pdf ↗