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Calibration of the temporally varying volatility and interest rate functions - MaRDI portal

Calibration of the temporally varying volatility and interest rate functions (Q5072033)

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scientific article; zbMATH DE number 7513125
Language Label Description Also known as
English
Calibration of the temporally varying volatility and interest rate functions
scientific article; zbMATH DE number 7513125

    Statements

    title
    Calibration of the temporally varying volatility and interest rate functions (English)
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    author
    Eunchae Park
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    Jisang Lyu
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    Sangkwon Kim
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    Chaeyoung Lee
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    Wonjin Lee
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    Yongho Choi
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    Soobin Kwak
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    Changwoo Yoo
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    Hyeongseok Hwang
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    Junseok Kim
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    publication date
    25 April 2022
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    zbMATH Keywords
    Black-Scholes equation
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    volatility
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    interest rate
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    calibration
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    option price
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    cites work
    Q3102303
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    Q4905685
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G30
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    35Q91
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    zbMATH DE Number
    7513125
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    OpenAlex ID
    W3176345690
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