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 is devoted to the application of B-splines to volatility modeling, specifically the calibration of the leverage function in stochastic local volatility (SLV) models and the parameterization ...
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