Robust and accurate construction of the local volatility surface using the Black-Scholes equation (Q2145459)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust and accurate construction of the local volatility surface using the Black-Scholes equation |
scientific article |
Statements
Robust and accurate construction of the local volatility surface using the Black-Scholes equation (English)
0 references
17 June 2022
0 references
local volatility surface
0 references
FDM
0 references
nonlinear curve-fit
0 references
option pricing
0 references
0 references
0 references
0 references
0 references
0 references
0 references
