Reconstructing local volatility using total variation (Q523719)
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scientific article; zbMATH DE number 6707184
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Reconstructing local volatility using total variation |
scientific article; zbMATH DE number 6707184 |
Statements
Reconstructing local volatility using total variation (English)
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21 April 2017
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Volatility smile
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Dupire's equation
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finite difference
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optimization
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multigrid method
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