From: Call option price function in Bernstein polynomial basis with no-arbitrage inequality constraints
Time to maturity in days |  | No. of constraints (n) | Iterations | Average cpu time (in seconds) |
---|---|---|---|---|
30 | BP | 21 | 12 | 0.0090 |
CS | 69 | 12 | 0.0136 | |
80 | BP | 19 | 12 | 0.0080 |
CS | 115 | 12 | 0.0165 |