COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS (Q4675934)
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scientific article; zbMATH DE number 2166058
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS |
scientific article; zbMATH DE number 2166058 |
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COMPUTATION OF LOCAL VOLATILITIES FROM REGULARIZED DUPIRE EQUATIONS (English)
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6 May 2005
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Black-Scholes model
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Dupire equation
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local volatility
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inverse problem
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regularization
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numerical differentiation
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