How to make Dupire’s local volatility work with jumps (Q5245895)
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scientific article; zbMATH DE number 6425903
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | How to make Dupire’s local volatility work with jumps |
scientific article; zbMATH DE number 6425903 |
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How to make Dupire’s local volatility work with jumps (English)
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16 April 2015
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local volatility theory
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volatility surfaces
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computational finance
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Fokker-Planck equation
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