An alternative tree method for calibration of the local volatility (Q2076421)
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scientific article; zbMATH DE number 7475185
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An alternative tree method for calibration of the local volatility |
scientific article; zbMATH DE number 7475185 |
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An alternative tree method for calibration of the local volatility (English)
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16 February 2022
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volatility
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alternative tree
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option pricing
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calibration
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nonlinear constrained optimization
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