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Bi-cubic B-spline fitting-based local volatility model with mean reversion process - MaRDI portal

Bi-cubic B-spline fitting-based local volatility model with mean reversion process (Q2416527)

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Bi-cubic B-spline fitting-based local volatility model with mean reversion process
scientific article

    Statements

    title
    Bi-cubic B-spline fitting-based local volatility model with mean reversion process (English)
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    author
    Shifei Zhou
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    Hao Wang
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    Jerome Yen
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    Kin Keung Lai
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    publication date
    23 May 2019
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    zbMATH Keywords
    bi-cubic B-spline
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    local volatility
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    mean reversion
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    surface fitting
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    Identifiers

    zbMATH DE Number
    7058349
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    OpenAlex ID
    W2427616207
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