An explicit piecewise-constant-curvature construction with power-law tails converts discrete arbitrage-free call prices into full risk-neutral marginal laws that exactly reprice inputs and are free of butterfly and calendar arbitrage.
Journal of Econometrics , volume=
2 Pith papers cite this work. Polarity classification is still indexing.
2
Pith papers citing it
years
2026 2representative citing papers
Establishes a uniform Bahadur representation for sieve M-estimators under temporal dependence and constructs valid simultaneous confidence regions using Gaussian approximation and self-convolved bootstrap.
citing papers explorer
-
Arbitrage-Free Multi-Maturity Risk-Neutral Marginals
An explicit piecewise-constant-curvature construction with power-law tails converts discrete arbitrage-free call prices into full risk-neutral marginal laws that exactly reprice inputs and are free of butterfly and calendar arbitrage.
-
Simultaneous Inference for Nonlinear Time Series, a Sieve M-regression Approach
Establishes a uniform Bahadur representation for sieve M-estimators under temporal dependence and constructs valid simultaneous confidence regions using Gaussian approximation and self-convolved bootstrap.