The implied volatility is a crucial element in any financial toolbox, since it is used to both quote and hedge options as well as for model calibration. In contrast to the Black–Scholes formula, its ...

General aspects of polynomial interpolation theory. Formulations in different basis, e.g. Lagrange, Newton etc. and their approximation and computational properties ...

In this paper, error estimates for generalized Laguerre-Gauss-type interpolations are derived in nonuniformly weighted Sobolev spaces weighted with $\omega _{\alpha ...