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Table 2 Number of constraints, number of iterations, and the average computational time taken by the optimization routine of the proposed Bernstein polynomial method (BP) and the cubic spline smoothing method (CS) for times to maturity of 30 days and 80 days, respectively

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