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A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE (Q3606399)

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A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE
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    title
    A NEW REPRESENTATION OF THE LOCAL VOLATILITY SURFACE (English)
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    publication date
    26 February 2009
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    zbMATH DE Number
    5519484
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    zbMATH Keywords
    implied volatility
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    Dupire's equation
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    inverse problem
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    ansatz approach
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    nonlinear system
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    author
    Marianito R. Rodrigo
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    Rogemar S. Mamon
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    OpenAlex ID
    W2083229504
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