The calibration of volatility for option pricing models with jump diffusion processes (Q4622837)
From MaRDI portal
scientific article; zbMATH DE number 7024372
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The calibration of volatility for option pricing models with jump diffusion processes |
scientific article; zbMATH DE number 7024372 |
Statements
The calibration of volatility for option pricing models with jump diffusion processes (English)
0 references
18 February 2019
0 references
jump-diffusion model
0 references
Tikhonov regularization
0 references
Euler-Lagrange equation
0 references
finite difference method
0 references
iterative algorithm
0 references
