The missing portions of variables subjected to SPLINE or MSPLINE transformations are handled the same way as for OPSCORE, MONOTONE, UNTIE, and LINEAR transformations (see the previous section). The ...
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 find the transformation, which is a linear ...
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 ...
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