Robust and accurate construction of the local volatility surface using the Black-Scholes equation
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Publication:2145459
DOI10.1016/j.chaos.2021.111116zbMath1498.91450OpenAlexW3176463049MaRDI QIDQ2145459
Publication date: 17 June 2022
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2021.111116
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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Cites Work
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